What do you think is the most effective exercise to strengthen a shoulder that keeps dislocating?

Suggestion: Assuming that you suffer from anterior dislocations, i would recommend you look at the thrower's 10 program. Concentrate on the exercises for shoulder... If you are doing push-ups, avoid going deeper than 90 degrees at the elbow since this will put your shoulder in a vulnerable position for dislocation. Avoid tricep dips for sure! if conservative treatments do not work, you may need surgery.