The knob you turn for adjusting the temp/volume is the shut off for your shower. If water is coming out of the head, that valve is not shutting off. Fixing it depends on the brand and model. If that isn't obvious, can you post a picture? Most of them have a replacement cartridge that should restore operations to like new (except for the looks, and then you can buy a new handle, too, if you want). Once we figure out what you have, we can tell you how to fix it.