From http://gamblis.com/2009/10/03/open-esri-shape-files-in-quantum-gis/
This basic tutorial of Quantum GIS will show how to open or load shape files (.shp) into Quantum GIS. As we know, the free and open source Quantum GIS can handle ESRI shapefiles very well.
ESRI Shapefiles support is provided by a library of functions known as the OGR Simple Feature Library http://www.gdal.org/ogr.
A shapefile actually consists of a minimum of three files:
• .shp file containing the feature geometries
• .dbf file containing the attributes in dBase format
• .shx index file
Ideally it comes with another file with a .prj suffix. This describes the projection information for the shapefile. There can be more files belonging to a shapefile dataset.
To load a shapefile, start QGIS and click on the Add a vector layer
toolbar button. This same tool can be used to load any of the formats
supported by the OGR library. Clicking on the tool brings up a standard open file dialog which allows you to navigate the file system and load a shapefile or other supported data source(KML, GML, XML...).
The selection box File of type allows you to preselect some OGR
supported file formats. You can also select the Encoding type for the
shapefile if desired.
Once loaded, you can zoom around the shapefile using the map navigation tools. To change the symbology of a layer, open the layer properties dialog by double clicking on the layer name or by right-clicking on the name in the legend and choosing Properties from the popup menu.