CMS Desk > E-commerce > Configuration tab > Shipping options > Shipping option edit:
On the Tax classes tab, you can choose which tax classes will be applied for the given shipping option. Tax classes can be edited at CMS Desk -> E- commerce -> Configuration -> Tax classes.
Help URL: http://devnet.kentico.com/docs/6_0/contexthelp/index.html?cms_ecommerce_configuration_shippingoptions_taxclasses.htm