ogr2ogr -f "ESRI Shapefile" shape.shp  PG:"host=localhost user=user_name dbname=db_name password=******" -sql "SELECT * FROM centraloffice"

FAILURE:
Unable to open datasource `PG:host=localhost user=user_name dbname=db_name password=******' with the following drivers.
-> ESRI Shapefile
-> MapInfo File
-> UK .NTF
-> SDTS
-> TIGER
-> S57...