Extract an ArcGIS Server Services to a shapefile/feature class

1. On the server side you have to use the query capability and retrieve all features in a JSON format. Try it using this link: http://www.geoportal.cl/ArcGIS/rest/services/MinisteriodeViviendayUrbanismo/chile_minvu_ddu_pri_Costero_Ohiggns/MapServer/0/query?text=&geometry=&geometryType=esriGeometryPolygon&inSR=&spatialRel=esriSpatialRelIntersects&relationParam=&objectIds=&where=OBJECTID++%3E+0&time=&returnCountOnly=false&returnIdsOnly=false&returnGeometry=true&maxAllowableOffset=&outSR=&outFields=&f=html As you can see from the form page to get all the features, I set the WHERE field to be OBJECTID > 0, and the Geometry Type to be a Polygon, the Return Field to * (so that I can get all attributes), and the format to be JSON file; then you can click the query button.
2. Save out the JSON file you get on your browser, just right click on the browser and choose Save Page As
3. Use the tool in ArcMap JSON to Features (http://resources.arcgis.com/en/help/main/10.2/index.html#//001200000057000000) 
4. Convert the feature class into a shapefile