If your contour SHP file is arc (line) based and not polygon based, you won't be able to shade the area between the contours directly. If you have a polygon based SHP file and have an attribute field that labels the elevation range between contour lines, then it is a matter of symbolizing the layer based on the contents of the elevation range field, and assigning one of the color ramps available.
Some raw contour SHP files require considerable processing to be able to do the nice thematic shading. The other option is to create a raster based grid file or a TIN where each individual cell has an elevation assigned to it. This can be generated from a properly configured SHP file but may require one of the advanced extensions like Spatial Analyst or 3D Analyst.
Hope that helps some. I have wrestled with contours many times. Good luck.
Mike L