LogInBen Cloward, the co-author of ShaderFX, has shared a good old training guide on HLSL shader fundamentals online.
The first part, for example, will give you an understanding of what an HLSL shader is, how a shader can be created with free software, edited, and then displayed within 3ds Max. The video covers fundamental programming concepts such as Data Types, Structs and Functions will be covered. You will learn how to create a shader GUI, the basic framework of an HLSL FX shader and more.
The series was originally published back in 2007, but it’s still an ideal introduction to the world of HLSL shader writing for real-time GPU based shaders. Yeah, some tips are out of date, but most of the principles are still fundamental.
You can also get the entire contents of the original DVD here.