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What the heck is that for?
It is a 1x1 pixel gif file with its only color set to transparent. It is usually used for spacing. I don't know if Macromedia (Dream Weaver and Fireworks) were the first to use that name, but they definitely popularized it.
Use of the "shim.gif" itself should not cause any indexing problems. Some CSS pureists however, will get riled about the use.
The way that it is abused is by including it somewhere on a page as a link. It is not visible to the user, but spiders used to be fooled by it and blindly follow the link.
I believe that more sophisticated spiders now look for this and don't follow the link if the image file is under a certain size. I doubt that it looks specifically for a file name as that would be too easy to circumvent.
(So size does matter!)