Since we like to see code, here is some:
data = shapefile.Reader("data_file.shp")
shapes = data.shapes()
Quoting from this answer by thomas:
MemoryErrorexception that you are seeing is the direct result of running out of available RAM. This could be caused by either the 2GB per program limit imposed by Windows (32bit programs), or lack of available RAM on your computer. (This link is to a previous question). You should be able to extend the 2GB by using 64bit copy of Python, provided you are using a 64bit copy of windows.
So try a 64bit copy of Python or provide more detail about your platform and Python versions.