I installed Vundle, got the snippetMate running. But when vim launched, the snippet it loaded is _.snippets. With my Understanding, it is the default for snippet. However, i want to use other snippet such as sh.snippets and tex.snippets. I try to run the SnippetMateOpenFile in Vim to locate the snippets file It doesn't appear. I checked and see that all of the snippet file is there.
Yes, the _.snippets contains the global snippets. In order to use the other ones, the correct filetype has to be set. The snippet plugin reuses the same mechanism that Vim uses for syntax highlighting and settings (like indent) that are specific to a certain programming language. Usually, filetype detection works automatically; you can check with
:verbose setlocal filetype?
This needs to print sh for shell scripts, to use sh.snippets. If it doesn't, you have to fix / enable filetype detection (see :help filetype-detect), or, for a one-time fix, set it manually:
:setf sh
(I'm not sure about your particular snippet plugin; I guess it's snipMate, but there are multiple variants around.)