My CAD is a little rusty and I don't have it installed to test, but the method I used to use is similar to what Mapperz linked to. I do remember doing it without ever leaving the polyline command (ie drawing the chord bearing as a line then using its endpoints to draw the arc as a separate command). It's possible this method is no longer valid, and I've been using ArcGIS a lot lately to do this so my CAD memory may be confused (hence I won't type out specific steps).
I do not know what impact working in a shape file would have, but drawing and storing are two different things. In ArcGIS you can draw a curve in a shapefile using the tools, but when you finish sketch it gets converted to straight segments as Mapperz points out.
You might also look at the COGOEDITOR or Traverse tools. I found a AutoDesk forum post on the subject, though it doesn't address 'in a shapefile'. There were also several promising sections of the AutoCAD help file, but without that version of the software available I am unable to test.