SHP is the 3D Studio (DOS) shape file format. You can import these files into 3ds Max.
A SHP file contains polygons created in the 2D Shaper in 3D Studio.
When importing an SHP file that contains multiple shapes, 3ds 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).
When you import an SHP file, you first see a 3DS Import dialog. This is identical to the dialog you see when you import a 3DS file. When you have set the options and clicked OK in the 3DS Import dialog, you then see a Shape Import dialog.
(The default.) When chosen, imports all shapes in the SHP file as a single editable spline object.