Shaw can absorb any kinetic energy that passes through his body. That includes things hitting him (being punched, being cut (to a degree), being shot) and him hitting things (slamming into something, punching walls).
In this case, he would gain very little energy when Colossus simply grabs him and throws, but when he lands, he will gain strength.
Originally posted by xmarksthespot
Shaw is basically the embodiment of "Whatever doesn't kill you only makes you stronger." However whatever does kill him... will kill him. Enough punishment will kill him, so considering Colossus doesn't really tire in armoured form he could just keep beating the shit out of him until Shaw's dead.
Punching Shaw is like punching a matress. His power nullifies the majority of damage his body receives. He can be overloaded though, so if Colossus had kept hitting, he could have eventually put Shaw into a coma.
However, he probably couldn't physically kill Shaw with his fists. If, say, a 2 ton weight were dropped on Shaw, he would die. He would absorb the initial kinetic impact, but the weight would still be there and his body would be crushed regardless.