If using frozen shrimp you will first want to thaw your shrimp. You have two options for thawing: let it thaw overnight in the fridge, or for faster thawing, take the shrimp out of its package, put it in a bowl of cold water. After about five minutes, drain the water and add fresh cold water. The shrimp should be thawed and ready in about 10 minutes. After your shrimp has thawed, set them on paper towels and pat dry to absorb any leftover liquid.