Devein and remove tails on the shrimp. Pat shrimp completely dry.
In a medium bowl, combine the ingredients for the sauce. Set aside.
Prepare the milk mixture in bowl 1 and the flour mixture in bowl 2.
Dredge shrimp in the milk mixture, then, generously coat in the flour mixture. Place onto a platter. Continue with remaining shrimp.
In a skillet, over high heat, cover bottom with oil. Once the oil is hot add shrimp, don't overcrowd skillet.
Fry shrimp 2-3 minutes per side, until crispy and cooked through. If you will be working in batches, add the fried shrimp to a baking sheet and place it in a preheated oven to 375°F to keep it hot and crispy while the remaining shrimp are cooked.
Once all of the shrimp are cooked, pour the sauce over the shrimp and gently coat. (TIP: The sauce may be poured over the shrimp in the baking sheet or in a bowl.)