Melt the butter in a chafing dish and, when hot, add the shrimp in one layer. Sprinkle with salt. Cook shrimp until pink on one side, then turn to cook other side, a total of about 4 minutes.
Sprinkle shrimp with shallots, pepper, and lemon juice and continue cooking, stirring. Sprinkle with warm Cognac and ignite. Spoon sauce over and over shrimp as flame burns.