Shapefile polygons are constructed from one or more closed rings. If a shape has multiple rings, they can be exterior and interior (e.g., form a doughnut), or multiple exterior (e.g., island chain).
Of course, having multiple exteriors doesn't prevent having one or more interior rings on each shape. The shapefile specification does state that:
- Exterior rings must be counter-clockwise, while interior rings must be clockwise (this convention is known as left-hand rule since the shape would always be on your left-hand side as you walk the perimeter)
- Interior rings must always follow the exterior ring they partition
- Neither exterior or interior rings may overlap or share a common border.
Shapefiles do not make a distinction between these objects -- they are all polygons.
However, some tools do make a distinction, QGIS being one of them. If all you will ever have in a shapefile is simple one-ring shapes, then you can safely choose Polygon. If, however, some shapes may contain multiple exterior rings then you will safer choosing Multipolygon.