3ds Max supports in its latest versions export to Adobe Illustrator graphics (.ai), so if it's technically possible, you should be able to perform this particular conversion just using the default export function in the program. Whenever this particular .shp file can be export to AI graphics however, could not be reliably verified.
Convert AutoCAD shape file or source file for text fonts to Adobe Illustrator graphics file.
We found one software available in the database for this conversion.
Microsoft Windows software - convert shp to ai on Windows
A widely-used 3D animation application from Autodesk
Convert from shp file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.