The behavior of thin films of diblock copolymers under shear has been studied using coarse-grained Langevin dynamics simulations. The morphologies the film exhibits are examined as functions of composition, segregation strength, and the strength of the shear field. Below the order-disorder transition (ODT) the film generates a rich variety of structures corresponding to a monolayer of compressed micelles. Once a shear field is applied and above a critical shear rate, the system self-assembles into cylindrical micelles with orientation parallel to the shear direction, in agreement to experimental observations. In addition to formation of cylinders parallel to the sheared direction, we have identified the conditions under which cylinders under the influence of shear flow adopt an orientation perpendicular to the shear flow. The segregation strength is the main parameter that triggers the order-order steady state orientation transition.