Peel the shrimp and put the peeled shrimp in the refrigerator (save the shells in the freezer for making shrimp stock).  Begin heating your shortening to 375 degrees.  Put the flour in one plastic trash bag and the cracker crumbs in another.  Put the milk in a shallow pan.  Pour all the shrimp in the flour bag and shake to coat them with flour.  One at a time, pick the shrimp out of the flour bag, dip them in the milk, and drop them in the cracker crumb bag.  As the cracker crumb bag begins to fill, shake the bag to coat the shrimp with cracker crumbs and remove the shrimp to a cookie sheet.  Resume the assembly line until all the shrimp are processed.  Use a thermometer to tell when the shortening is the right temperature.  Fry in batches until the shrimp are golden.