I have a shapefile with classification and I would like to see that map in QGIS. When I open it, adding it as layer, I just see the overall area filled with the shapes of the various classes but I have not any legend available or a QGIS layer setting file. How can I set a legend?
You need to define the classification in the GIS - just because it is there in the shapefile doesn't mean that your GIS knows how to interpret it.
If you are using QGIS3, make sure the Layer Styling panel is visible, and change the fill type from "Simple Fill" to Categorised, choosing your classification field as the column. Then choose a colour ramp and click Classify.
Then you should be able to add a legend.