That shouldn't be happening at all. DVDShrink will normally rip to a single ISO file (when you choose ISO as the output).
If you are not compressing these movies, and DVDShrink is able to handle the encryption alone, you can substitute DVDDecrypter and output as an ISO. You can find it at www.mrbass.org
Both Shrink and Decrypter are very much outdated as decryption programs however and you almost certainly will run into a dvd they cannot handle. Might be time to invest in AnyDVD when you run into one. AnyDVD can run in the background to break encryption, then you can make the ISO with Decrypter or DVDShrink.
In the meantime, I'd try uninstalling DVDShrink and reinstalling, just to see if this changes its behavior on this one movie.