Sauté shallots in butter until soft. Do not brown. Add cayenne and shrimp. Stir-cook until shrimp begin to turn pink. Add Cognac and set aflame. Add wine and salt. Bring to a boil, lift from heat, cover and let stand 3 minutes.
Lift shrimp from liquids. Add sugar and boil liquids, reducing them by half. Thicken with beurre manié