When you export any data, by right clicking on respective layer, as shapefile (Data > Export Data…), it creates files with the following extensions. Let’s say we exported our data (name - ‘MyData’) as shapefile, then it will create the following files:
MyData.dbf (dbf- Shapefile attribute table file)
MyData.prj (prj- projections definition file)
MyData.sbn (sbn- spatial index for read-write shapefiles)
MyData.sbx (sbx- spatial index for read-write shapefiles)
MyData.shp (shp- Shapefile (stores feature geometry))
MyData.shx (shx- Shapefile (stores file lookup index)).