Where can i find the municipality 2017 shapefile of Luxembourg or does someone know a site where I can download shapefiles of updated municipalities in Europe?
If you want an official source for European administrative GIS data, check Eurostat's website. Eurostat is the statistical office of the European Union. They gather (GIS) data from member states.
You will find among other the NUTS zones (administrative units), communes and commune centroids for different scales. The last reference year is 2013, but the data shouldn't change every year (I'm not aware of any recent change for Luxembourg at least).
I'm not sure what you mean by "municipalities" but as far as I know the reference website for downloading administrative shapefile is gadm.org
A way is to perform an overpass-turbo query on OpenStreetMap data, like this one for Luxembourg: http://overpass-turbo.eu/s/n7b and then download the data as geojson or gpx. You can then easily convert to a shp in a GIS. The key-value pair to look for is:
"admin_level" = "8". You can query others subdivisions by changing this number, see possible values on this page https://wiki.openstreetmap.org/wiki/Tag:boundary%3Dadministrative#admin_level
For Luxembourg only, you may also have a look at geoportail.lu, but unfortunately, their server is down since yesterday! see https://twitter.com/geoportal_lux
You can download the shapefiles at DIVA-GIS
DIVA-GIS is a free computer program for mapping and geographic data analysis (a geographic information system (GIS). With DIVA-GIS you can make maps of the world, or of a very small area, using, for example, state boundaries, rivers, a satellite image, and the locations of sites where an animal species was observed.
DIVA-GIS also provides free spatial data for the whole world that you can use in DIVA-GIS or other programs.