Remove all peeling from shrimp, except the tails. Devein shrimp. Rinse and dry shrimp. Place flour in a 9×13 pan. Add salt and cayenne to your taste, and mix well. In a shallow bowl, mix milk and eggs. Dip shrimp in egg wash, then place in flour mixture, coating well. Fry in oil at 375 degrees for 5-6 minutes. Serve with Tartar or Cocktail sauces. Serves 4.