I'm not sure what you mean by guard, but regular pets that just follows you around as a collectible does nothing else than to follow you. You can apply shields to the two summonable sorc pets using Conjured Ward (a skill found in daedric summoning). The nightblade pet Summon Shade can't be shielded. And yes, some shields can be applied to other players (Bone Shield form the Undaunted skill line is on of the shields).