Are you using vanilla AutoCAD or AutoCAD Map/Civil 3D?
For the latter, there is Map ObjectARX .NET API for Importing/Exporting SHAPE to/from Acad MAP, which does basically what the command MapImport/MapExport do.
If you use plain AutoCAD, unfortunately, there is not AutoCAD .NET API that deals with SHAPE file. However, you can down load FDO libabry from http://www.osgeo.org/home to read/write geometries and its attribute data defined in SHAPE file.
Actually, if you use Acad Map/Civil, the FDO library is installed with Acad Map, so you can deal with SHAPE file either with Acad Map's importing/exporting API, or with FDO.
thanks for quick response, I am using AutoCAD Map/Civil 3D and will try with Map ObjectARX .NET API.
Is there any example written in C#?
If you have not downloaded AutoCAD Map ObjectARX SDK (which is not same as AutoCAD ObjectARX SDK), downloaded. It comes with Map ObjectARX NET API code samples. The one you want to look into is DOTNET sample project "ImportExport". The documentaion coming with the Map ObjectARX SDK also have some code snippets.