If you literally mean where the shifter handle connects to the mechanism, there's a single torx bolt holding it in. Tighten that.
If it's loose farther down, the mechanism has several bolts holding it to the column casting; it's very unlikely those are loose unless it's been removed before and wasn't tightened properly. Most people service the whole column as a unit instead of piecemeal so if it's loose down there it may be the mechanism is cracked due to abuse from the BTSI (brake-to-shift-interlock) solenoid having problems getting out of park.
Carefully peel back the boot; it has a slot around it where it just slips into the plastic surrounding the column. Then you'll see the single bolt I'm talking about that holds the lever in:
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Richard