If you are using ArcGIS ArcCatalog:
Go to Table of Contents, right click on .lyr, go to DATA and select Export TO option...Here you can save it in a .shp format.
If you are using ArcGIS ArcMap:
If you can load the layer file in ArcMap and the data is accessible, you should be able to right click on the layer in the Table of Contents and export as shapefile. Below image will help you:
Click on 'Export Data' and you will see this dialog box. Click on the button highlighted in the image below
You will now see another dialog box and you can choose 'Shape File' from the drop down menu as shown in the image below