You can use fresh shrimp or frozen shrimp. I find that the thawed shrimp in most grocery stores have been previously frozen. I usually ask my butcher to give me a back of the frozen shrimp that they have in the back. It's usually 2 lbs of the same kinds of shrimp that is already in the case. I like to use the medium to large shrimp and try to choose wild-caught shrimp instead of farm-raised ones when available. You'll see a number range with the shrimp that indicates its size. The smaller the number, the larger the shrimp. The number is an estimate of how many shrimp will be in each pound for that size of shrimp.