The rohan shield wall was one of their staple tactics in years gone by. The game has advanced since then and made it somewhat more difficult but its still a good formation to learn to use.
Broadly speaking all you need for one are a warband of Rohirrem with shields, a banner to stand behind them and a Hero (preferrably with high defence and shield) to lead them.
All you really need from this group is to pin an enemy in place, their job isn't to kill enemies, not at first, but to get to a position where they can hold against enemy infantry using their shields to compensate for the lack of spear support. Once in position you hammer your cavalry into the enemy and with any luck take away their spear support, at that point the shield wall stops shielding and tries to kill the hopefully trapped enemies.
For added effect Royal guards can hold longer and fight better, but they're also much more expensive to lose. Throwing spears are also expensive upgrades BUT! they allow you to harrass enemy infantry prior to combat and can sometimes tip the odds in your favour, one or two dead enemy warriors can effectively pay for the cost of a warband's spears, make sure you get plenty of throws to try and make that happen.
Is it a 'press here to win button'? Nope
Is it a difficult formation to use compared to one line shields, one line spears? Yup
Is it nicely themed and play to the strengths of having a heavy cavalry element? Yup
Does it help a predominantly cavalry force take and hold ground that would otherwise be less than favourable to fight over? You bet
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