The best, most effective way to cook frozen shrimp is to thaw it before cooking. After the shrimp is thawed, it can be cooked in a variety of different ways.
The best way to thaw shrimp is to place a sealed container of frozen shrimp in the refrigerator until it is thawed. If you're in a hurry, frozen shrimp can be quickly thawed by running it under cold water.
After thawing, shrimp can be cooked on the grill, sauteed or poached. Shrimp should only be cooked until it just turns pink and the tails begin to curl. Overcooking will result in tough shrimp.