Citing many map shapefiles from the same website
How to proceed probably depends on the number of files. 


If it's just a handful, you could create individual listings for each file.
If there are a bunch of files with a similar naming structure, you could create a single bibliography entry for the main page, and then in a note in the citation identify the files used.
If there are hundreds of files or files with various naming conventions, it would probably be easiest to put this information in an appendix or supporting information document, and then provide a single citation to the web site.