Thaw shrimp. Cut into very small pieces. (large shrimp are not as strong-tasting as the small ones.)
Melt butter in skillet. Add mushrooms. Sauté about 1 minute. Add flour and cook-stir about 1 minute. Add cream, milk, salt, sugar, pepper, and cayenne. Stir-cook until thickened. Do not add the shrimp until the mold is ready to-be served.
When mold should be done, add the shrimp and stir-cook for 2 minutes, or until shrimp turn white. Add lemon juice and Cognac. If sauce is too thick, add a bit of milk and Cognac. Serve.