shell.dll is a Microsoft system file which some viruses delete although it can simply become corrupt for no apparent reason. It's a simple job to download a clean file and install it into the two folders ('system' and 'system32') which require it. See here: http://www.bleepingcomputer.com/files/shellxp. php
your spyware scanner is not asking you to change the file if it reads something like. shell.dll....change.
it is simply telling you there has been a change to this file which is perfectly normal as microsoft files can change all the time due to updates e.t.c. so you can ignore it.
your spyware software will tell you when you have spyware and then you can remove it.