The shield is carried by the guards who patrol Eastmarch and Windhelm, and primarily blue in color with a painted motif of a bear's head - this is the symbol of the Stormcloak rebellion and represents an alias of Ulfric Stormcloak - The Bear of Markarth.
It may also represent the previous Jarl of Windhelm and Ulfric's father who was simply known as "The Bear of Eastmarch".
During the course of the civil war, the Imperial Legion may occupy Windhelm and replace the guards that carry these shields. [Source: wikia]
You can download the papercraft model here: The Elder Scrolls V: Skyrim - Windhelm Guard's Shield Free Papercraft Download