Flash Player is for video and animated content.
Shockwave is for "Interactive" content inside Flash containers. Links and such, like in Facebook games.
The Shockwave Flash plugin in IE is ActiveX. If IE is the only browser you use, it's ALL you need.
If you use Chrome, it has its own Flash Player plugin so you don't need anything for it.
If you use Firefox, Safari or Opera, you'll need the (non ActiveX) Flash Player plugin.