It is a simple dynamic programming algorithm.
Let us assume that we want to go from vertex x to vertex y.
Make a table D[.,.], where D[v,k] is the cost of the shortest path of length k from the starting vertex x to the vertex v.
Initially D[x,1] = 0. Set D[v,1] = infinity for all v != x.
For k=2 to n:
D[v,k] = min_u D[u,k-1] + wt(u,v), where we assume that wt(u,v) is infinite for missing edges.
P[v,k] = the u that gave us the above minimum.
The length of the shortest path will then be stored in D[y,n].
If we have a graph with fewer edges (sparse graph), we can do this efficiently by only searching over the u that v is connected to. This can be done optimally with an array of adjacency lists.
To recover the shortest path:
Path = empty list
v = y
For k= n downto 1:
Path.append(v)
v = P[v,k]
Path.append(x)
Path.reverse()
The last node is y. The node before that is P[y,n]. We can keep following backwards, and we will eventually arrive at P[v,2] = x for some v.