He is one of a mere two NPCs in the quest not to ask a favour (he does not do favours). The other is Gnormadium Avlafrim, who does not ask because he does not think you are capable of doing it.
Captain Shanks is located on a small ship due west of Shilo Village and just south of Cairn Isle. You must first climb a ladder to enter the boat. His ship, the Lady of the Waves, will take players to either Port Sarim or Port Khazard for a price.