Ok, I read the information contained in Doug Gilmour's link. Here's a quote from the site:
How do I convert SHNs to MP3?
Whoa there, bucko. Before you do this, you need to make sure you are allowed to. Check the info file that came with the SHNs (you downloaded the info file too, right?). Usually there is something in there prohibiting you from converting the SHNs to MP3 format. Even if there is no such statement in the info file, you really should not convert the SHNs to MP3, because of the loss of quality, and the fact that once MP3s of a show start to be created, it becomes more difficult to find original, non-mp3-sourced copies of the show. If you do create MP3s from the SHNs, you should never distribute them (don't share them on Napster!), and you should never, ever use your MP3s to create a music CD.
So, be careful and make sure you are legally allowed to create MP3s. If you are, please abide by the wishes of the artist and do not distribute the music on P2P networks. Just rip them for your own listening enjoyment.