Clean and peel each shrimp, but leave the tails on. Slit each shrimp half-way through along the inside curve. Open and flatten.
In another dish, combine cornstarch, salt, and cayenne pepper. In a separate bowl, beat whites until stiff. And finally, place coconut in yet another dish. Dip each shrimp in the cornstarch, then egg whites, then coat with coconut.
Tray freeze before placing in a freezer baggie for long term storage. To thaw, deep fry in oil at 375 for approximately 2 minutes or until golden brown. Set on a paper towel to drain and serve with dip.