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Although this isn't the ideal way to do it, depending on your comparison tool you may be able to tell it to compare the shelved version to a local version (workspace). I use Beyond Compare, and this allows you to open a file to compare to. So from the shelveset I do a compare to Latest, and then replace the 'latest' with my local workspace version.
Unfortunately I've just checked the built in comparison tool and it doesn't provide this option.