Check the workspace you have selected in Team Explorer > Pending Changes. You must have a workspace selected that has a mapping which includes the server path of the file you are trying to unshelve.
(Note: make sure you are using the workspace mapping in Team Explorer, NOT the workspace shown in Source Control Explorer.)
So if the file on shelveset is: $/TFS/Main/File1.cs, you need to have a workspace selected with a mapping that includes that file or one of its parent folders (e.g. $/TFS/Main)
I have multiple workspace for different branches and usually see this error when I try to unshelve into “Main” workspace when my “Feature Branch” workspace is selected.