Why does my shower goes cold when any other faucet is turned on?
When someone turns on another faucet it reduces the flow of water go to the hot water tank so less hot water is available for your shower and then you just get the cold. I suspect if you had the shower set to totally hot, you'd just notice reduced flow. 

I believe they make kits for shower values that help prevent this by reducing the cold flow if the hot flow is reduced, I know they make anti-scald ones to prevent the opposite problem. There are also strategies for plumbing to help balance things better so the effect isn't as strong.