Identify Road closest to a given location (Latitude,Longitude)

What is the best possible way to identify road which is closest or leads to my desired location.The possible approach I am taking as of now is that do a shaperead on my Shape File (Tiger Shape Files) and then do a minimum of my desired location (Lat,Long) to all my road Links (Lat,Long).

This approach works but its tedious and the processing time is dependent on number of structure elements of the Shape Read.

If you know of any alternate solution please revert.

Thanks!!