To export a single feature to an Esri Shapefile:

• From an open design file, choose the Map Imports | Exports button from the Primary group on the Ribbon 
• Select the Exports tab
• Right-click on the Exports node. Select New Export
• Right-click the export node and select the Add Shapefile... option. Navigate to an output folder and enter a file name
• Expand the Attached node and ensure your feature is selected

• To specify which properties to export, right-click the feature and select Show Properties > Ungrouped.

• Refine your export by defining the Spatial Criteria, Feature Parameters and Export Parameters:

• When done, right click the export node and choose Export.

- To export multiple features at one time use the Add Shapefile Directory... option

NOTE:
Export to Shapefile requires a coordinate system from the MicroStation Coordinate System Library.  If your DGN File contains a Custom Coordinate System, first change to a coordinate system from the library then use the Export to Shapefile Command.