When you create an order, you must select a shipping option, even if you choose Free Shipping. There a couple ways you can resolve this.
One way is to void this order, and when you recreate it, be sure to select the actual shipping option that you want to use. Here you can use the discount box to discount the shipping however you like.
Another way would be to simply create and print a shipping label manually for this one order.
Please let me know if this is helpful, and feel free to start a screenshare if I am not understanding your question.