Hi,
As Richard correctly pointed out, the Spatial Data Import utility is sample code. Our company developed it for Microsoft several years ago. We have a real import utility that you can try for free to see if it works with the shape data you have:
GIS Data Import for Microsoft MapPoint®

If you like it and need to import .shp files on a regular basis, you can purchase it. If you just need it for this particular task, then it won't cost anything to try.

I hope this helps.

Brett
www.shapesource.com
www.visimation.com