Select Shape File
If you receive a dialog box with this title while opening a drawing, you are missing a shape file that is referenced in the drawing. Shape files contain shapes that can be used by themselves, sort of like blocks. Most likely though, they are part of a complex linetype definition.
If you do not have access to the shape file, let's figure out why. Did you receive this drawing from someone else? If so, ask them for the shape file, and then ask them to use eTransmit next time they send you a drawing so this won't happen. eTransmit packages the drawing file together with all dependent files (such as shape files, images, and External Drawing references)
What if this is an internal drawing that you have been working on for a while? In that case, maybe the shape file was moved from it's original location, or maybe your support file search path was changed, and it no longer includes the directory where the shape file lives. In any case, AutoCAD cannot find the shape file. Search your machine and/or your network for this file. The actual shape file name is located in the file name portion of the "Select Shape File" dialog.
If you have made it this far, then I suppose you cannot find the needed shape file. So you have a drawing of unknown origin, you do not know anything about the author, where it came from, etc., but you are still getting the "Select Shape File" dialog upon drawing startup. If you have no hope of obtaining the original shape file, you might as well purge it out since it's not available anyway. Ok, so you run the PURGE command, and it's not listed. Why? Something must be referencing at least one shape in the shape file.
Many times you see people in the newsgroups asking for a certain shape file name. The chances of this working are very slim. Let's say that you are missing a shape file named "pro-lm.shx", and you do happen to find someone who has the same file, it's doubtful that it is the exact same file. Anyone can create a shape file and give it this name. Shape files contain shapes referenced by number. If your drawing uses shape #114 defined in "pro-lm.shx", and you replace it with a file named "pro-lm.shx" that doesn't include shape #114, you are going to be in the same boat as before. Even worse, the replacement file may contain a shape #114 that isn't the same as the original.
How do you find out what is referencing this shape file? Start by looking for complex linetypes. Complex linetypes either reference a font, or a shape file. Purge all linetypes and then see if the shape file can be purged. If not, keep digging. Set all layers to use the Continuous linetype, and make sure all entities are set to Bylayer linetype. Purge again. This should free up the shape file for purging if it was referenced in a linetype.
If that didn't do it, run QSELECT and see if any SHAPE entities are present in the drawing. If so, you can select and delete them even though they are not visible.
Lastly, try this lisp file.
This will search for three things.
1) Complex linetypes that reference a shape file.
2) All loaded shape files.
3) Any inserted shapes.
Still stuck? If you are still stuck after all this, head over to http://www.manusoft.com and take a look at SuperPurge. It has a "hard purge" feature that will purge anything (read the warnings...)
As always, whether you are doing this manually, with the attached lisp, or with a product like SuperPurge, work on a backup of your drawing until you are sure what you are doing. Good luck.
Feel free to let me know if none of these suggestions work. You can even send me a drawing if you wish. I have only tested these suggestions on a limited number of drawings, and I'm sure there are some cases out there that I have not covered.