So me and my brother were playing Escape from Dol Guldur and we got an objective as a shadow so what do we do. Do we put it into the encounter deck or something?

Those objectives start in play in the staging area at the beginning of the quest. It's mentioned on the setup for quest card 1A. If they are ever detached from a hero they are placed back into the staging area.

Thanks to Dungeon Jailor it is possible for an objective to end up in the encounter deck which is extremely awkward. If it comes up as a shadow card then it gets discarded just like any other shadow card and you have to wait for it to shuffle back into the encounter deck to get it back in the stagin area - or as I would most likely choose, give up and start again.

Ok thanks