There are two questions here. 1) In or at? Both prepositions are correct for saying where you are. 'In' means inside a place, whereas 'at' is a less precise location, but you can use either of these for shops or gyms. 2) a or the? Both are possible, but the meaning is different. If you say 'the shop' or 'the gym', we know which shop or gym you are talking about. Maybe it's one that you've mentioned before, or maybe it's the only one in your town, or the one that you always go to. If you say 'a shop' or 'a gym' we don't know which shop or gym you are talking about - it could be any one.

All are correct.