I try to ask without spoiler much.
After one of those " you enraged the gods" messages, some creature spawned that had some magical shield.
I couldnt hurt it, whats the trick here ?

This monster is called Stevari and some/most call him "Steve".
From the wiki(with no more spoilers than op):
"Notes: Will spawn if the gods are angered. Has a large protective shield ..."
So if you hear/see "You have angered the gods." you know he will spawn in the Holy Mountains.
There are some tricks you can use against him, but without spoilers it's hard to explain.
I think those tips are ok:
Watch closely and realize what this shield does and use the correct wand setup against him. You might want to have a wand with the right "speed".
Another tip might be, that falling or thrown objects can get you a headache. Enemies in Noita are kinda afraid of it.
There is a perk, that gives you a similar shield.
There is a perk, that "gives the gods a blind eye".

For more information see the wiki about Noita. There is a lot to learn about Noita and someone who is strictly against spoilers may never realize whats all going on and what you can do in Noita, but to each its own or however you say it in English ^^
Wiki Link about him with potential Spoilers!

I dont see any SPOILER tags so dont read on if you dont want to know about this at all, but yes you can kill it, and if you really want to know read on below.

***SPOILERS***
You just have to have powerful enough wands and/or learn more about the game and how it works. The first time i did it i used a wand i didnt really want but it was loaded with shooting out 9 oxygen tanks at once. Used that wand 1 time to place 9 oxygen tanks right next to "Steve" and then switched wand to a normal pew-pewer and shot one of the tanks. Explosion was strong enough to take him out instantly. Like SSX_someone said you can also learn more about shields and how to lower them faster. So there are a few ways. ;) There is a reason Steve spawns though. SPOILER ahead (again):

***SPOILERS***
There are eggs at the jungle level and if an egg is destroyed by a monster/worm then Steve will spawn for you. Unfair, but there it is. Another reason, i think, is if you keep breaking things/breaking the Holy Mountain by destroying the world while there or shooting at the statues too much. That i think angers the gods as well so be a bit careful there. I test wands by shooting upwards so i dont shoot the statues. I also dont use drillers or lasers. I just check them into the air to see if they are fast enough. Thats all info i need to know if they will be good drills. Previously i shot or tried them in the Holy Mountain and destroyed the world (roof, floor etc) and all of a sudden Steve spawned all pissed off. So take it easy and if you find the perk to please the gods - take it. Especially since this game is not loading levels - they are all there and if you get strong and powerful enough you can use wands to shoot tunnels through the world and go around to all of them even before going to the end and killing the boss. There is a lot of secrets. The game is not just straight forward. ;)

"There are eggs at the jungle level and if an egg is destroyed by a monster/worm then Steve will spawn for you."
Steve won't spawn or get angered when eggs get destroyed.
These eggs contain small worms which might dig through the holy mountain which than angers the gods.