How can I protect myself with an object (shield) from the impact of another object (rocket)?

What if while the secondary click is pressed, you deflect the damage dealt? that is, when the rocket hits the player, it generates damage, which is directly related to the player's life, if the player has the secondary click pressed, this damage is no longer related to the player's life, and simply does the action of exploding, I don't have unity installed at the moment so I can only help you with theory :)

Assuming that the rocket launches correctly, that it is a rigidbody that you give it a boost to, and that the shield is an object that is referenced from the Inspector panel, the class approach quitarshieldlollevaelescudoseems correct to me, but I see some errors that will prevent you from executing the code. To begin with, you have a public field called escudo, but then you apparently refer to it by name shield. Also, you are missing a parenthesis in that if statement.

public class quitarshieldlollevaelescudo : MonoBehaviour {
    public GameObject escudo;    

    // Update is called once per frame
    void Update () {
        if (Input.GetButton("Fire2"))
            escudo.SetActive(true);
        // Te falta desactivarlo cuando no pulsan el botón
        else
            escudo.SetActive(false);
    }
}

Now, you should add a script to the shield and implement the method OnCollisionEnter()to destroy the rocket every time it collides with it. Add a "missile" tag to the rocket prefab and do something like this:

private void OnCollisionEnter(Collision col)
{       
    if (col.gameObject.tag == "missile") 
    { 
        // TODO: Activas efecto de partículas y sonido de explosión
        // Destruyes el misil
        Destroy(col.gameObject);
    }     
}