My hometown is right on the Texas Gulf coast, so I've cooked a ton of shrimp. The video MsMoffit posted above is perfect. BTW, always buy wild caught in USA shrimp, shells on. The cheap shrimp is usually farmed in some third-world country with no regulations.
You want shell on, because the shell protects the meat when frozen. Without the shell, freezing can make the meat a little mushy. BTW, any shrimp you buy in a grocery store is, or has been frozen. Even the "fresh" shrimp in the seafood case arrived at the store frozen. So, buy it frozen, and thaw it out yourself for the best freshness.
CD