It is loaded into a material, and DirectX automatically compiles it.
i.e.

Code:

---

material my_shader_material {
  effect = "my_effect_file.fx";
}

---

or
Code:

---

material my_other_shader_material { }

starter load_shader()
{
  effect_load(my_other_shader_material,"my_other_effect_file.fx");
}

---

-Rhuarc