Export shapefiles from osm.gz2

Hello ! Is there any software I can use to export shapefiles from OSM.gz2 . I want to import those shapes in tilemill and create a custom map.
I tried to download the shapefiles for Greece from Geofabric , but it seems there are shapes missing , like borders, city names etc. (http://www.mapcruzin.com/free-greece-arcgis-maps-shapefiles.htm) Thank you in advance!

Have a look at the OSM wiki about http://wiki.openstreetmap.org/wiki/Shapefiles to see how to convert OSM data to shapefiles and viceversa.