One of the more popular topics here is the Select Shape File post from February 2006, where I explained why you might be prompted to select a shape file, and ways to eliminate this prompt.
Well, Autodesk has taken this one step further in AutoCAD 2011 and now offers you a way to eliminate this prompt forever.
If you check the toggle “Always perform my current choice” and then select “Ignore the missing SHX files and continue”, then you shouldn’t be prompted again.