CCM2 download and load

Download on ccm on the web site

You can download the CCM2 Data at : ​http://ccm.jrc.ec.europa.eu/php/index.php?action=view&id=24
If you don't have a login and a password create it.
And select the data you want to add. Use the projection system : ETRS 1989 LAEA

Change the format with ArcGis

In ArcCatalog, open the data (for example CCM21_LAEA_RiverBasins\ccm21\LAEA_RiverBasins.gdb) and clic rigth on !LAEA_RiverBasins.gdb > Export > To Shapefile (multiple) and choose the "Output Folder" where the data will be stored.