To prepare the shrimp for steaming, hold a shrimp just above the tail and pull away the legs near the tail. Then hold it above the tail and peel away the rest of the shell. If you keep holding by the tail, it might come off, too, defeating the nifty little handle for eating! Finally, use a small paring knife to cut down the back and remove the vein.
Bring water and lemons to a boil in the bottom of a steamer. Add the prepared shrimp to the steamer and stir them around till they start to turn orange, 2-3 minutes tops. Take them out before they are quite finished cooking because the lingering heat will finish the job. Cool completely and refrigerate before serving.
FOR THE SAUCE
Mix the ketchup, horseradish, lemon zest, Tabasco sauce, and salt & pepper. Place in a bowl surrounded by the steamed shrimp. Serve immediately.
Notes
Horseradish is spicy! Two tablespoons is a lot ... especially freshly grated! I usually dial it back quite a bit depending on who I am serving and add in more as I taste.