Scammed from http://flash.lakeheadu.ca/~dmpierow/lab9/Ontario/

.sbn and .sbx—the files that store the spatial index of the
features. These two files may not exist until you perform
theme-on-theme selection, spatial join, or create an index on
a theme’s shape field in another ESRI software.

See also http://shapelib.maptools.org/ : No support for the undocumented .sbn/.sbx spatial index files.