A SHARED.DIR is simply any Director movie that you have named "SHARED.DIR". This is a special reserved file name in Lingo which, by naming a movie file this, you can access the castmembers in it from any other Director file in the same folder or directory. Simply put, this is like a "master" or "shared" set of castmembers that will appear in any Director file you open that is in the same directory or folder. As such, you should use this file ONLY to dump castmembers (picts, sounds, scripts) and NOT for putting things onto the score. A rule of thumb for using this is to stick your castmembers a ways down in the window (I start off around cast #500) which keeps the cast in this movie from interferring with the normal items you import into your cast in your other movie files.
NOTE: This is only useful if you have several linked Director files which share similar attributes (eg code, picts, sounds), and not if you plan on putting everything into ONE large Director movie file.