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Start by soaking the skewer sticks in cold water.
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Peel and devein the shrimp. Place them in a bag with olive oil, lemon juice, chopped parsley and minced garlic. Seal the bag and make sure that all of the ingredients are combined. Let that sit for about 10 minutes.
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Combine ketchup, horseradish, worcestershire and lemon juice in a bowl. Taste test and add more horseradish if you like a kick or more lemon if it needs more brightness.
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Grill the shrimp on skewers for 2 minutes each side. Serve on or off the skewers with the cocktail sauce for dipping!