Start by cutting it in half lengthwise. Then scoop out the seeds with a sturdy spoon. Put the halves of butternut squash in a baking dish, drizzle them with oil and salt them generously.
Then turn them over, cut side down, and put them in a 400° oven till they are soft. Turning them cut side down allows the steam to be concentrated under the skin and in the scooped out seed spot. Baking will take about 40 minutes, but of course, this all depends on the size of the squash. Use a toothpick, cake tester, or the tip of a sharp knife to see it it's done. If you test the part where the seeds were, it will fool you. There's less flesh there and it will get done sooner. Be sure to test the "neck" part of the squash to be sure it's done. (If you have a pressure cooker - digital or stovetop - you can cook it in there. There's plenty of instructions on the internet.)
Peel the squash by simply pulling the skin off … it's seriously that easy once it is baked.
Sauté the shallots till they are soft. Or if you're lazy like me, lay them in the same pan with the butternut squash to roast along with it.
Put both the squash and shallots in a food processor or blender to purée. Add the butter, salt, and pepper and purée again till smooth. If needed, add cream or stock to thin it. I usually don't find this necessary.
Hold over low heat till ready to serve or make ahead and reserve in the fridge for up to a week.