Shaoxing wine is a Chinese rice wine used for drinking and cooking. The wine is named after a famous wine making city of the same name in China. Shaoxing rice wine is made from brown glutinous rice and commonly aged for 10 or more years. The resulting flavor resembles the taste of dry sherry. The alcohol content of this wine is about 17 to 18%.
There are "cooking Shaoxing wines" but just as with other "cooking wines" or "cooking Sherry" they tend to be quite inferior.
Depending on where you live it's most likely you won't find this in your neighborhood grocery store. Do look for it in any Asian grocer. You can also purchase this rice wine at Amazon: Shaoxing Wine
If you don't have Shaoxing Wine you can substitute:
Use either Dry Sherry or Japanese Sake rice wine (sweeter)