Bring a large pot of water to a boil. Add the lemon, salt, and cayenne. Add the shrimp and return the water to a boil. Remove from the heat, cover and let stand for 5 minutes. Drain and spread the shrimp on a shallow platter. Refrigerate until completely chilled. Combine the mayonnaise, shallots, curry, mustard, and vinegar in a bowl and whisk to blend. Season with salt and pepper.
Put the shrimp in a large bowl and add the curry mixture. Toss to coat evenly. Serve immediately or store in the refrigerator until ready to use. Serve with party crackers. Whisk all the ingredients together in a small bowl. Chill for at least one hour before serving.