You can find different colored shards on certain routes on the Pokewalker accessory.
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Underwater
Red Shard Blue Shard Yellow Shard Green Shard Violet City and Fuchsia City
Theres a treasure hunters house between lilycove and mossdeep. You get the water stone(evolves stayu) if you give him the blue shard the hunters house is just West of Mossdeep. On a mini island. You can trade: green shard for leaf stone, blue shard for water stone, red shard for frie stone and that's all i know.
you don't get the red orb in Pokemon heart gold you get the blue orb that you use to get kyogre