Hi Jamal - In order for you to convert an E00 file you first need to import it using the "Import from E00" script in ArcToolbox (System Toolboxes -> Conversion Tools -> To Coverage -> Import from E00). What this will do is convert the E00 file to a Coverage (The resulting file will be in the same location as that of your E00 file unless you specify otherwise). The result will be a Coverage that actually contains a handful of individual files (Arc, Tic, Label, Polygon).
In order to further convert the Coverage into a Shapefile you need to export the Coverage. The simplest way to do so would be to use ArcCatalog. Navigate to the folder where your Coverage is, right click the Coverage, navigate to "Export" and select "To Shapefile (Multiple)". Choose your destination folder, run the tool and when it completes you will have converted your Coverage into a Shapefile (you should have 3 or 4 individual Shapefiles). I've attached a screenshot that gives you a visual of how to convert the Coverage into a shapefile.
Hope this helps.
