This issue comes up rather often when dealing with projects that use CADWorx. Some users use CADWorx and other people in the same project don’t. Perhaps they want to simply open a P&ID drawing (or other drawing that uses this file for linetypes) with just “vanilla” AutoCAD and upon opening the drawing they are greeted with the ever-annoying prompt that says: “One or more SHX files are missing. What do you want to do?”
If you don’t have CADWorx installed on your machine, simply ignore this so that you don’t alter the drawing and how it is supposed to look/display. Then go find someone who does have CADWorx and ask if you can copy the “compiled shape file” (That is what an .shx file is…) and copy it to you your AutoCAD support path.
Most likely the culprit is the .shx file called “Cfm.shx” and it is located in the default CADWorx support path on your C: drive as shown below.
In the example below, I am using AutoCAD 2013 with CADWorx P&ID 2013. Your versions will vary but the file name of “Cfm.shx” remains the same. Also not that when you browse to your AutoCAD support path, it will not be the same as mine after the “Users” portion…
Shown below are some of the linetypes that use this .shx file that are unique and therefore, you can see why you wouldn’t want to simply replace the linetype upon opening…
AutoCAD Tips 