Wash shrimp and put it cut down the back to remove the mud vein. You may peel before cooking, but traditionally the shrimp are cooked in the BBQ sauce in the shell. Combine remaining ingredients in saucepan, simmer for 10 minutes. Pour over shrimp and mix thoroughly. Cover and refrigerate at least 2-3 hours, stirring occasionally.
Preheat oven to 300° F. Place shrimp and sauce in a shallow pan or iron skillet. Bake shrimp turning frequently until they just turn pink, about 15 to 20 minutes. Do not overbake. Shrimp should be tender.
Serve with chunks of French bread to soak up the delicious sauce.