In every scene there are a couple default shaders, "lambert1" is one of them. Whenever you create a piece of geometry, Maya assigns lambert1 to it (if there is no shader, the object cannot be software rendered), this is why Maya does this automatically. You can create as many different shaders as you like, some objects can have unique shaders, or they can share shaders, whatever. The quick way is to right click the object(or a selection of objects) in 3D space and click "Assign new material" and choose a shader type. Better yet, you can get familiar with Hypershade(Window>Rendering Editors>Hypershade), which is a shading specific editor.