When deveining shrimp, the home cook will usually peel off the shells first, but with careful manipulation of the knife it is possible to keep the shells on.  Keeping the shells on is a fantastic way to introduce a full shellfish flavor to the cooking liquid and locks in more flavor inside the shrimp.

Uncurl the shrimp in your palm or on a cutting board and using a utility knife (small knife, like a pairing knife) carefully run the knife down the middle of the back of the shrimp, the outer arch cutting through the shell and into the shrimp itself a little way.  At this point it is simple to peel off the shell, or keep it on, depending on your preference.  Either way, spilt open the shrimp to reveal the dark vein (when the intestine is empty it will appear white and opaque), remove and discard.