In a medium bowl, combine all of the cocktail sauce ingredients and stir well. Cover and refrigerate until ready to use.
The Shrimp:
Preheat the oven to 450 degrees F. In a large bowl, combine shrimp with garlic, olive oil, salt, and pepper.
Spread the shrimp, in a single layer, on a large baking sheet. Roast the shrimp for 3 minutes, turn the shrimp with tongs, and roast for a additional 2-3 minutes, until the shrimp are opaque and just cooked through.
Place the shrimp in a dish, partially cover, and chill for about 1 hour. Serve with the cocktail sauce.