Apply eye shadow first if you want the liner to be bold, or last if you want it to blend in and have a smokey look. I'll show both ways...
I start by using a small, stiff brush to apply dark brown or black eyeshadow on my upper lids at the base of my lashes. This step helps to make sure the liner looks "blended in" with my eyelashes.
Sometimes I leave it like this if I'm just going to work or doing "day makeup."
Apply a thin line of liquid liner to the base of your lashes. Then go over it again starting in the middle of your eyelid just above your pupil, and gradually thicken the line working outward.
Stop at the end of your eye or continue outward for a "cat-eye" look.
If you want a "smokey eye" just apply a taupe or grey colored shadow to your eyelid.
Then take the dark brown or black shadow and apply to the crease between your eye and your brow bone in a triangle shape.
Using the small, stiff brush, blend in the eyeliner with the shadow to create a smokey look.