Want to convert the .kml file into .shp file so that I can create new the point, line and polygons data to work in ArcGIS.
Actually I want to use Google Earth to make data for ArcGIS.
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If you're going to use it in ArcGIS, I assume you have ArcGIS installed already. Use: ArcToolbox > Conversion Tools > From KML > KML to Layer
I believe this has already been answered for use of Gdal/OGR2OGR: How to convert between KML and Esri's shapefile (SHP) format?
Based on your question title and your tag, I'm not sure if you want to use GDAL or ArcGIS do perform this conversion.
The GDAL ogr2ogr option would be this command:
ogr2ogr -f "ESRI Shapefile" C:/Temp/myshp.shp C:/Temp/mykml.kml
More examples may be found here: