By default OOB apps only have access to Isolated Storage, if you want to have access to files under My Documents you will need to run your OOB app with Elevated Trust. Here is a good article on how to setup your application to run with elevated trust.
I believe you should just be able to modify the Helper.cs class that comes with the HowDoISamples and modify the path to load the shapefiles from your My Documents directory. Can you give that a try and let us know how it goes?