Why does salt water makes cells shrink?

Because the saltwater is dehydrating it, just like it will dehydrate humans eventually.

A freshwater paramecium would shrivel in salt water due to a precess called osmosis.

Osmosis is a type of diffusion that occurs in water. If you have a container with two different salt concentrations separated by a fine screen (semipermeable barrier) that will allow water to move back and forth, but not salt, the water will try to move to the side with more salt to dilute that salt. This is what happens to your paramecium. The water inside the paramecium will move outside the paramecium to try to dilute the saltwater, causing the paramecium to shrivel like a ball that has had the air let out.

Further explanation of osmosis can be found at http://en.wikipedia.org/wiki/Osmosis

As a side note, this is why drinking salt water actually dehydrates a person. When you have salt water in your digestive track the water in your body will move into your digestive track to dilute the salt water. The water is then excreted through your urine leaving you with less water in your body then before you drank the saltwater.