If you have WinAmp you can listen to them with no conversion.

Plug-in available here with FULL, step-by-step instructions. Read and then read again if you have problems.
etree.org/shnamp.html

If you do not have winamp or want to convert these files (.SHN) to basic .WAV files - then you need this:
mkwAct Toolkit

Also EXCELLENT step-by-step instructions on installing and then simply drag and drop the .SHN files onto the running program and *poof* - .wav files! :)

Hope this helps,

Joe

p.s. - If your next question is "which shows should I download" - there are lots of good threads re: this here - do some reading on the previous pages for some recent reccomendations and also "classic" must-haves.