Currently, the Projection Tab in Shape2Earth only shows you what the projection currently is. If it is blank, then there is no projection associated with the shapefile.

To set the projection in MapWindow, select GIS Tools from the main menu, then select Vector and Assign Projection to Shapefile. This will open a form that lets you select the projection.

This will need to be the projection information that the data is currently in. Shape2Earth will convert it to WGS84 during the KML conversion process.