What are "shared" files?
Shared files are "general purpose" files that more than one program can use. They usually come in the form of DLL files and should be automatically installed with the software that needs them (assuming the setup program for the software includes them. Most good setups will).
DLL (Dynamic Link Library) files are basically "support" files for certain types of software. They are generally (but not always) found in your Windows System directory.
They work like this: Let's say a program needs to perform an operation. Rather than all the coding being built into the program, it uses a particular DLL file that, with a simple call, can perform the operation for it. This saves lots of programming time, especially since many of the common DLL files are already installed with Windows.
I've also had lots of people ask about deleting these files. Well, the best advice is not to, since many of your DLL files are used by more than one program. Going through and deleting the ones you *think* aren't being used anymore is a lot like getting under the hood of your car and yanking wires that don't look important. What happens if one of those shared files gets deleted or corrupted and one of your other programs will no longer run? Easy - just re-install the program in question and you'll be back in business. No big deal.
If you're really concerned about stray DLL files, make sure you run the uninstall program when you're removing a program from your computer. Most programs include an uninstall program that will (should) take out all the extra DLL's.
There are programs available that will check your shared files to see if they are needed, but these aren't always fool-proof.