Apologies, I missed that you wanted to do this with a Shape Layer, my bad.
With regards to my previous suggestion, the instructions relate to drawing the mask onto a solid layer or a footage layer, not a Shape Layer. They should work fine if you create a new solid and draw the mask there. You can slect in the Stroke effect whether to draw onto the solid, or to make the solid transparent so you only see the stroked line. (Byron has also provided instructions for this process below. I'm not sure why his method adds a Fill effect to the process, but I'll let him discuss that if he'd like to.)
Now, to stroke a path in a Shape layer, create a new Shape Layer, then us the Pen Tool to draw your paths. By default the Shape Layer should try to fill your path with red, even if you haven't closed it.
Twirl down the Shape Layer settings in the timeline window as shown below in the screengrab to reveal the Fill and Stroke settings for the Path. Set the Fill opacity to 0% and adjust the Stroke Width to widen/thicken the stroke. Fool around with the other settings to see what they do - you can add wave effects, taper the ends. make dotted and dashed lines etc.
