Shape files cannot be directly loaded into Microstation, but there is a utility that will translate .shp files into .dxf files that can then be brought into MS. Point your browser to:
This file will do 10 translations of any size free, and is then limited to a small file size (<32k) until you register it (I think that it's about $100).
I've used this several times and it works pretty seamlessly.
The .dxf files should be properly georeferenced when you import them into Microstation. An exception to this is if they are off the design plane. This should not be an issue in V8.