I didn't want a baby shower as I wanted DH to be there and enjoy it too, so we're having a 'welcoming party' once bub is born. That way the three of us are there to enjoy it.
But I suppose you could have it anywhere, you could host it, or have a girlfriend/family member do it for you. There are lots of ideas on the net, if you just google 'baby shower'. Most of the women I know that have had them had them at around 7 - 8 months preg. Suppose it's up to you though.
Have fun with it