Shockwave, not to be confused with what used to be called Shockwave Flash, is a plugin for Shockwave files. Shockwave files are made with Director by Macromedia. All these names can be confusing.
Once in a long while, you will need the Shockwave plugin. Perhaps a 3D engine or interactive game will require shockwave.
It seems the Director program is being abondoned for the far more popular Flash MX program since both programs serve the same purpose of animation and interfacing. For files produced using Flash, download the Flash Player plugin.