In a frying pan or large skillet, melt butter over medium-high heat until foamy but not browned.
Increase heat to high, add shrimp to pan all at once and sautee, tossing and stirring constantly, until shrimp is pink and almost cooked through (about 3 to 4 minutes).
With a slotted spoon, remove shrimp from pan and set aside.
Turn heat down to medium, add sherry, and cook, stirring constantly, until sherry and butter are intregrated and have formed a glossy, syrupy, bubbling and thickened sauce.
Add lemon juice, lemon zest, cayenne, salt & pepper, and continue cooking and stirring until lemon juice is integrated and sauce syrups up again (about 1 minute).
Return reserved shrimp to the pan and cook, tossing the shrimp until they are napped with sauce and cooked through.