Do we have to have a shader file for each bumpmap we want to use ?

Like say i have a house with a door

Bricks along with the bmp and shader file
door along with the bump and shader file

?

Nope, only one shader needed. Just create a diffuse & normal map for all your models [that you want to apply NM], the first is the regular diffuse texture, and the second skin is the normal map...

BTW: Check out the NM shader in the UC i posted...