SHP is the 3D Studio Release 4 shape-file format. You can import these files into 3D Studio MAX.
The .shp file contains polygons created in 3D Studio's 2D Shaper.
When importing an SHP file that contains multiple shapes, 3D Studio MAX gives you the option to either merge them all into one object or make multiple incoming objects.
The shape importer looks at the vectors on incoming splines, and if they're collinear within a couple of percentage points, it changes the angle to a smoothed Bezier (otherwise, it's a Bezier corner).