Making shrimp stock is quite easy. If you are able to get fresh shrimp with their heads and shells on, do so. Simply break off the heads and peel the shrimp. Put the heads and peelings in a large pot and fill with enough water to cover them. You can add the peelings of yellow onions (to give the stock a wonderful golden color) as well as a rib or two of celery (coarsely chopped). Bring to a boil, then reduce the heat to medium-low and simmer, uncovered, for about 1 hour. Strain in colander or sieve and there you have it. The stock can be stored in an airtight container (or in several small ones) in the freezer for up to 3 months.
Recipe from "Eula Mae's Cajun Kitchen Cookbook"