besides the fact that lossy compression is looked down upon, the real issue here is that this is a taping forum and for recording topics, not how do i play the show i just downloaded. you may have better luck with questions like these at
etree.org or by reading the FAQ over there.
but i won't stop there without answering your question.
if you must convert a .shn file to .mp3 (and hopefully only for your personal listening purposes and NOT for further trading or seeding), just download mkwACT from
etree.org and use that. convert the .shns to .wav and then the .wavs to .mp3 with that utility.
there are other options but i think this will be the easiest. you can use shntool but it's command line driven, not for the faint of heart! i'm not aware of a program that does straight .shn to .mp3 conversion.
good luck!