You don't specify what sort of job this is for, and hopefully you can come back and post what happened, but I can give some general answers, although I've never done interviews via screensharing before I do work with people in other offices this way. I'm tending to assume it's for a programming job but I could see other jobs using it too.
They're using screensharing because they either want to show you something, then want you to show them something or they want to collaborate (or any combination of those).
Things they might show you: A generic company presentation, details of the job / project, illustrations to help them ask technical questions (i.e. a code snippet or some other example).
Things they might want you to show: A sketch of some design in response to a question (they may given you control of their drawing program), some example code or text, some of your existing work.
Collaboration: Is a mixture of both where you may work together on something -- code, design, drawings, documents, etc -- so the interviewer can get a feel for how you work.
One of the tricky things on phone interviews is to get a feeling of the interviewees thought process, since there's no way for them to sketch out the interim steps and people tend to either stay silent while thinking on the phone or try and rush to an answer. This allows a phone interview to play out more like a face-to-face one.
But don't worry if they setup the shared screen and never use it, perhaps they do it by default just in case it's needed (always better to prepare in advance than waiting for someone to get it up and running).
General tips for a shared screen situation:
From my experience in using it, also applies to presentations
If you can, setup the software in advance and test it. Things go wrong all the time with sharing software (i.e. audio settings get messed up, firewalls need disabled). Always check in advance (with the same setup your going to use) if you can.
Shutdown all other programs, including e-mail, etc -- unless you need them. If you're sharing your computer this will stop you accidentally switching applications and showing something you shouldn't. In particular what for e-mail and IM programs that pop-up notifications -- there's nothing worse than seeing a random IM from a friend pop-up while you're trying to be professional.
If you're sharing -- and the software allows it -- share only the window(s) that are important to avoid the situations above.
Make sure your desktop background is appropriate ... and that the icons and programs that are visible are appropriate.
Be careful with anything with history if sharing it (i.e. browser history, file history).
If you're sharing remember they can see what you're doing -- think before you type.
And finally, if you're sharing, make absolutely sure you've stopped sharing after the interview before switching to doing anything else ... (this is the one I see most often, people forgot that they're sharing or assume the other side has disconnected.)