Shape files of ESRI is a standard geospatial way of representing points, lines and polygons . Its maintained by ESRI and is a open specification .More details at shapefile @ wikipedia .
I have used Qgis before but remember that was on a debian box where everything worked . Now on ubuntu 10.10 Qgis did work but without the python support . Python support is needed for OSM plugin to work .
I tried some things like :
* Use a latest version via ppa
* Use a dev version via dev ppa
Finally fed up searching for a solution , I downloaded the source and built it via the instructions in INSTALL file .
After the python support enabled I was lost looking for a python plugin location .
OSM plugin did come by default and I had to tick it to enable it .
Then importing an OSM file and exporting it to shapefile was baby steps .