Boil Sherry, 1 TBS oil, lemon juice, garlic and cayenne pepper in a heavy small saucepan until reduced to 1/4 cup (about 7 minutes). Transfer the mixture to a blender or food processor. With the machine running, gradually add 3 TBS oil and blend until a smooth sauce forms. Season to taste with salt and pepper. Add parsley and blend, using on/off turns.
Heat the remaining 1 TBS oil in a heavy medium skillet over high heat. Add shrimp and saute just until cooked through. Place a serving of rice on each plate, divide shrimp between plates and top with sauce. 2 servings.