Season shrimp with salt and pepper. Set aside.

Melt 2 tablespoons butter in a saucepan over medium heat. Add lemon juice, steak sauce, Worcestershire sauce and sherry or Madeira. In a small bowl, whisk together flour and water, then whisk into the steak sauce mixture. Cook and stir constantly until thickened and smooth. Adjust the thickness of the sauce, if necessary, adding a little more steak sauce if too thin or more sherry if too thick. Keep warm while cooking shrimp.

Place 2 tablespoons butter and canola oil in a large skillet over high heat. Once the butter has melted, stir in shrimp, and cook until pink and opaque, about 5 minutes. Place shrimp on a heated serving plate and dress with sauce. Serve hot.