We present spectra of the optical transient of GRB 021004 obtained with the Hobby-Eberly Telescope starting 15.48 , 20.31 hours , and 4.84 days after the \gamma -ray burst and a spectrum obtained with the H. J. Smith 2.7 m Telescope starting 14.31 hours after the \gamma -ray burst . GRB 021004 is the first burst afterglow for which the spectrum is dominated by absorption lines from high ionization species with multiple velocity components separated by up to 3000 km s ^ { -1 } . We argue that these absorption lines are likely to come from shells around a massive progenitor star . The high velocities and high ionizations arise from a combination of acceleration and flash-ionization by the burst photons and the wind velocity and steady ionization by the progenitor . We also analyze the broad-band spectrum and the light curve so as to distinguish the structure of gas within 0.3 pc of the burster . We delineate six components in the medium surrounding the \gamma -ray burst along the line of sight : ( 1 ) The z \cong 2.293 absorption lines arise from the innermost region closest to the burst , where the ionization will be highest and the 3000 km s ^ { -1 } velocity comes from the intrinsic velocity of a massive star wind boosted by acceleration from the burst flux . For a mass loss rate of \sim 6 \times 10 ^ { -5 } M _ { \odot } { yr } ^ { -1 } , this component also provides the external medium with which the jet collides over radial distances 0.004–0.3 pc to create the afterglow light . ( 2 ) A second cloud or shell produces absorption lines with a relative velocity of 560 km s ^ { -1 } . This component could be associated with the shell created by the fast massive star wind blowing a bubble in the preceding slow wind at a radial distance of order 10 pc or by a clump at \sim 0.5 pc accelerated by the burst . ( 3 ) More distant clouds within the host galaxy that lie between 30-2500 pc and have been ionized by the burst will create the z \cong 2.33 absorption lines . ( 4-6 ) If the three bumps in the afterglow light curve at 0.14 , 1.1 , and 4.0 days are caused by clumps or shells in the massive star wind along the line of sight , then the radii and over-densities of these are 0.022 , 0.063 , and 0.12 parsecs and 50 % , 10 % , and 10 % respectively . The immediate progenitor of the \gamma -ray burst could either be a WC-type Wolf-Rayet star with a high velocity wind or a highly evolved massive star the original mass of which was too small for it to become a WN-type Wolf-Rayet star . In summary , the highly ionized lines with high relative velocities most likely come from shells or clumps of material close to the progenitor and these shells were plausibly produced by a massive star soon before its collapse .