This might be a game-specific setting; I know the Facebook app has "Shake to Reload" as an option under Settings. Look both in the Settings app to see if the game is in there and in the game itself to see if there is an Options or Settings panel where you can turn off the shake feature.
Or do you mean the entire game app is getting deleted off the phone? As in when you hold an icon until it wiggles, and then press the red "X"?