Hmm, so you just need to extract it to your .dogz folder and it should work... Make sure it hasn't extracted into its own little folder.
The only reason I can think of is that you've got another downloaded breed that has the same Breed ID as the Shetlandz -- open it up in Petz Workshop and save it with a different breed ID number (the box that pops up when you save) ?
I had the same problem. I even took every dog breedfile out of the folder and all that showed up in the AC were kitties. On a hunch, I made it a unibreed and now it shows up (although it looks like the Sheepdog in the AC pic).