GIS and shapefiles, use a projection file to give the file real world coordinates, does your microstation setup allow for the use of projections to define absolute coordinate space? or does it work in relative/arbitrary coordinate space?
Are you importing a shapefile into Microstation? Or adding a shapefile and DGN to ArcMap?
If you know the coordinate system of both the DGN file and the shapefile, it should be possible to overlay one on the other. A little bit of detail and I may be able to help.