To fry shrimp, you will need to heat oil in a dutch oven or heavy bottom pan over high heat until it reaches 350-375°F. Shrimp cook quickly, so fry them a few at a time for 1-2 minutes or until golden brown. The internal temperature of the shrimp should reach at least 145°F. After frying, use a spider strainer to remove the shrimp from the hot oil and drain them on a paper towel-lined wire rack placed over a baking sheet. To ensure the oil stays at the proper temperature, use a thermometer. The best oil for frying shrimp is peanut oil, which has a high smoke point and provides great flavor for deep frying. Vegetable oil also works well and is less expensive.