We say "shake a leg" when we are waiting for someone and we want them to go faster. Example: "The party is starting in ten minutes. Shake a leg!" To get up and go somewhere you need to first move ("shake") one ("a") leg, then the other leg, then get going. To "shake a leg" is to get up and get going. Example: "They are waiting outside in the car; let's shake a leg!" Example: "Come on you guys... shake a leg!"