MShadow is a template library, you only need to include mshadow to use it. So this folder is not used to build mshadow library file.
However, mshadow is a flexible library that allows you to compile with different configurations. For example, you can compile mshadow without CUDA, and specify your own choice of BLAS. There are different compile flags that you might need to set in your own configuration. This folder provides a Makefile script to help you do that.