There is a "vein" that runs down the back of the shrimp which is actually its digestive tract. To be fair, there have been times that I've prepared a shrimp dish without removing these. I don't believe they present any health concerns, but I know many prefer to devein the shrimp. Use a pair of kitchen scissors or a fork to lightly puncture the shell of the shrimp along the "spine". You'll see a dark vein-- use a thin, sharp tip to pull the vein out.