FOR THE COCKTAIL SAUCE:
In a bowl, combine ketchup, Worcestershire sauce, lemon juice, horseradish, 1 teaspoon salt and 1/2 teaspoon black pepper. Set aside.
FOR THE SHRIMP:
Take the peeled, deveined and cleaned shrimp and pat them dry with a paper towel.
Place shrimp on a baking sheet and brush on olive oil evenly all over.
Sprinkle with remaining salt and pepper.
Prepare grill.
Once grill is hot and the coals are grey, place shrimp on grill.
Grill 2 minutes per side.
Remove from grill.
Arrange shrimp on a place and serve with cocktail sauce on the side with a wedge of lemon.