Had the same issue, but it's so simple that you never thought about doing it with the many tutorials and modules and kind of similar issues on the net:
map.readshapefile('luthuania', 'any_name_you_like', drawbounds=True)
so for your example:
from mpl_toolkits.basemap import Basemap
map = Basemap(projection='merc', lat_0=50, lon_0=4,
resolution = 'l', area_thresh = 0.1,
llcrnrlon=4, llcrnrlat=50,
urcrnrlon=40, urcrnrlat=60)
map.readshapefile('luthuania', 'any_name_you_like', drawbounds=True, linewidth=2, color='b')
map.drawcoastlines(linewidth=0.15)
map.drawcountries(linewidth=0.15)
map.fillcontinents(color='brown',lake_color='white')
map.drawmapboundary(fill_color='white')
Which gives
The module shapefile, by the way is used by Basemap under the hood: see C:\Python33\Lib\site-packages\mpl_toolkits\basemap\shapefile.py