To convert GPX files to SHP in ArcGIS, you need to download the Toolbox GPX to Features Tool.
Now unzip the file, then open the ArcMap application, navigate to ArcToolbox, inside this panel with right click go to Add Toolbox, and explore the file GPXtoFeatures.tbx (for ArcGIS 9.x GPS Tools931.tbx), this way we have a new ArcToolbox tool.
Finally, it is only necessary to go to the GPXtoFeatures tool in ArcToolbox, indicate the *.gpx file as the input source and define the directory to save the *.shp file.
