SHP is the 3D Studio (DOS) shape file format. You can import these files into 3ds Max.
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Application Menu > Import > Select File To Import dialog > Files Of Type > 3D Studio Shape (*.SHP)
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).