If using frozen shrimp: Take the shrimp out of the freezer and put it in the refrigerator the night before cooking to let it thaw. Or quickly thaw the shrimp by placing them in a colander, and running them under cold water for about 5 minutes, or until they thaw.
For the Cajun Spice Mix: Stir all ingredients for the spice mix together well in a small bowl. Toss shrimp in 2 tbs of the seasoning, and save the rest for later. (Ratio is 2 tbs seasoning to 1 lb shrimp)
Baking: Preheat oven to 425 degrees. Line a baking pan with foil and spray with cooking spray. Spread out the shrimp onto baking pan. Bake until the shrimp curl up and turn pink, about 6-8 minutes.
Grilling: Preheat an outdoor grill to medium and thread shrimp onto skewers. Grill shrimp for about 2-3 minutes on each side, or until they curl up and turn pink.
Sautéing: Preheat a large skillet over medium to medium-high heat, and spray with cooking spray. Add the shrimp, being careful not to overcrowd the pan. Cook about 2-3 minutes per side, or until they curl up and turn pink.