If you shut off the water to the house and the faucet is still running, then you have other problems as well. The main valve is not working properly or you did not find the main valve. Typically on most residental shower faucets there are no other valves to shut off. Every once in a while a plumber install them, but its not normal.
The first thing you need to do is to get the main valve working properly. Its your emergency shut off. If its not working, if you get a broken pipe, there is no way to shut it off and save yourself the additional damage.