The locals around here aren't such a fan of the word "shock". But if the algae is already dead (and I agree with that assessment), "shocking" is redundant. The purpose of shocking is to kill what is living, not get rid of what is already dead.
Vacuum and backwash.
Without test numbers, we don't know if there is still any live algae. Giving someone this kind of advice without having test numbers is a poor idea.
EHam - first of all, welcome! Your first step will be to get us a full set of test numbers from an approved test kit - a TF-100 (most reagents for the money) or a Taylor K-2006C (make sure it's a C so you have enough reagents).
You can get the TF-100 here:
TFTestkits.net
The 2006C can be obtained through Amazon or a favorite supplier.
The reason we want numbers is that we don't know what's going on with your pool. The reason we want you to test and not some random high schooler at the local store is that the stores often get it wrong (and they have no incentive to get it right).
Once we have a full set of test results, we'll be able to get your problem all taken care of (and keep it that way). While you're waiting on a kit, we need the following:
1. Please update your signature in the forums with your pool info - you can use my signature or another poster's.
2. Once we have a pool size, I can suggest a certain amount of liquid chlorine or plain, unscented bleach (not "fabric guard" or cloromax, and not splashless or EZ-Pour please) you can add each day until your test kit arrives.
3. Time to start reading:
Pool School - ABCs of Pool Water Chemistry
Pool School - How to Chlorinate Your Pool
Pool School - Defeating Algae