Reason for the error continued...
I found that ESRI .shp (Shapefile) maps for Australia that held very granular data such as Postcodes were naturally bigger in Filesize than maps that had just Australian States info.
Therefore I could browse to the Region maps & they would work OK, as soon as I wanted something with Postcodes, it was too big & prompted the "Unable to open this C://....... .shp file" error.
So there's nothing wrong with the ESRI files themselves – by the way, ensure you download all the other file types besides the .shp file such as .dbf, .shx.
Next I downloaded a tool to upload the .shp (Shapefile) in a normal table format (Rows & Columns).
The tool was shp2sql;
Then when you make the selection in SSRS to add a map using a Spatial Query, the query you write will be something like the below - note I'm using the Postcode type data but you would match on any suitable common field;
from Your_Ref_Table_with_Postcode A -- your file including the Postcode field
JOIN Spatial_Table_Data B -- Uploaded .shp file
ON A.POSTCODE = B.SPATIAL_POSTCODE
The Spatial or geometric data aligns the map with the Postcode info common to both tables & you can continue to create your map in SSRS.
Hope this helps anyone with the same problem.