How to convert coverage (.adf) to shapefile?

OGR can read ArcInfo binary coverages. If it is a vector coverage, and you have both the coverage directory AND the info directory (see coverage format) then you can use ogr2ogr to convert to a shapefile.

Edit: This assumes you are actually trying to convert a vector coverage, not a grid coverage. To check, look in the coverage directory, if you have files like hdr.adf and w001001.adf then it is a grid. If it has files like pat.adf or arc.adf then it is a vector coverage. You can also use ogrinfo or gdalinfo, ogrinfo will return information if it is a vector coverage and fail if it is a grid and vice versa for gdalinfo. If you really want to convert a grid coverage to a shapefile, then you could use gdal_polygonize.