Shamsky (or "Shamsky Number 1") was a male dog (a bulldog) that was owned by Robert when he was a kid. It was named after his favorite baseball player Art Shamsky.
Even though Robert loved that dog, they had to get rid of it because of Ray's childhood allergies. But their parents tried to make it easier on Robert by telling him the dog was hit by a car...
In the episode entitled "The Dog", Robert gets a new bulldog and names it Shamsky Number 2, after his first dog.
Shamsky #1 was never seen in the show, only mentioned twice, once in Season 1, Episode 19: "The Dog" and the second time in Season 4, Episode 20 : "Alone Time".