"Shooting the messenger" means blaming the person who told you some bad news, instead of blaming the people who caused it.
A good way to remember this phrase is to imagine that there's a war going on and a messenger arrives to tell the general that they've lost a battle. The general, angry that they lost, shoots the messenger who brought this information, even though it's not the messenger's fault.
We use "shoot the messenger" like this:
Don't shoot me; I'm just the messenger!
If you want to shoot the messenger, that's fine but it's not going to change anything.