So you've been using Azureus (Java, cross-platform) to download concerts from Sharing The Groove, and grabbing lossless shows from archive.org as well, but what to do with all those SHN and FLAC files?
On OS X there isn't so much choice: you can convert them to WAV (cross-platform) or AIFF (Mac) with xACT then burn them to an audio CD with iTunes. Or you can convert them directly to Ogg Vorbis using oggenc and shorten/flac with the script I described earlier.
On Windows there are more options. You can listen to them directly in WinAMP with the SHN and FLAC plugins, or burn them directly to audio CD using Nero and the SHN and FLAC plugins. To convert them to another format (*any* format) grab the trusty dbPowerAmp Music Converter and the SHN and FLAC codecs. Alternatively, if you need to check the MD5 hashes before converting to WAV use mkwACT, which is also the only tool available for decompressing MKW files.