Pull shrimp heads off and peel, carefully leaving the whole tail. Make an incision along the back of the shrimp to remove the intestinal track. Wash shrimp under a trickle of cold water under the faucet and dry them up well.
Heat olive oil in a thick-based pan and fry shrimp on middle heat, moving them from time to time, for about 2 or 3 minutes or until pink in color. Add sherry and season to taste with salt and pepper.
Put the shrimps and sauce in an oven dish. Prick them with toothpicks and serve immediately.