Pull off the heads (if your shrimp came with heads attached). Pull off the legs. Peel off the shells - slip your fingers under near the head, then peel it off the body. Leave the tails on or remove them.
If the tract breaks up into pieces, run the shrimp under a stream of water for a few seconds to wash it out. You can also use a shrimp deveiner to remove the digestive tract from smaller shrimp.
You can skip this step if you’re battering and frying the shrimp, or if you don’t mind the nerve cord being visible. Removing the nerve cord is a little trickier than removing the digestive tract. Be careful not to slice the shrimp all the way through.