Reccomendation: Good book about directx and shaders
I just thought I'll share a book I have purchases today - it might help you as well if you are new to shaders and all those strange effect files ( like me ).
Book is called "Introduction to 3D Game Programming with Direct X 9.0c: A Shader Approach"
Looks like a real winner for me as it explains lots of stuff with shaders, effect files etc. It covers much more than shaders alone - has things like terrain generation, heightmaps, texturing, lighting, meshes, animation, particles etc. and some really cool stuf like grass animation with billboards!! The list goes on and I don't want to list it all here. Check it on amazon if you want more info...
Only one negative thing ( for xna developers ) - all code examples are in C++ which means you have to translate into C# yourself.
By the way, I'm not authors friend and not related to him anyhow :)

