Inside Shade's Gym (The old power plant, a.k.a the place where you are), two doors are locked. You have to level up Magneton inside one of these rooms to get a Magnezone. Of course, you're going to need a Yureyu Key, and that key is going to take some work to get...
Here is where you go for the Yureyu Key. Bring Rock Smash, Strength and pacience...