How do I load shapefiles in Esri ArcMap?

To open shapefiles in Esri ArcGIS Arciew, launch the ArcGIS application, and select the option to start using ArcMAP with A NEW EMPTY MAP, then hit OK

click on the PLUS SIGN icon to ADD A LAYER to the existing map view.

The opened GIS layer will appear on the list in the layer bar, and will appear as a map in the map view.

You can find some better instructions here.