Hi Nick,
An MXD is a configuration file for ArcMap. A shapefile is a legacy data structure from the mid-1990s which can be added to an ArcMap session and used as one of many data sources. If you then save the ArcMap session to an MXD, then the next time you open the MXD with ArcMap the shapefile will be available as a layer in the ArcMap session. I hope that helps explain the relationship between MXDs and shapefiles.
I find the Esri free online training to be an excellent way to find my way:
Esri Training | Getting Started with GIS
Good luck,
tim
