why p orbital have dumb bell shape
Because of the wave nature of electrons.
Electrons in p-orbitals are located around the nucleus. It is a bit like the electron is evolving inside a box, where it follows stationary oscillation modes: oscillations which are stable in time.
Here is a picture of different stationary modes of a vibrating string
http://en.wikipedia.org/wiki/File:Harmonic_partials_on_strings.svgYou can imagine that it is the shape of a 1-dimensional wave function. The first one, on top, would be a s-orbital. The second one would be a p-orbital.
In a 3-dimensional space, the oscillating stationary modes take the shape of s, p, d and f orbitals as we know them. One could as well continue and calculate the shape of g-orbitals, even though no chemical element has them. It is just mathematics.