How to make
Put a deep container with the water, salt, black pepper and bay leaf on high heat. Once it starts boiling, throw in the shrimp.
Now comes the 1st important part - the timing. For their meat to end up tender and tasty, follow it strictly. Cooking time depends on their size - if they're small to medium, count 1 min. 30 sec. after boiling point. If they're large - 2 min. 30 sec. is plenty.
After the suitable time is up, take them out with a slotted spoon and put them in another deep container, in which you've put all of the ice ahead of time.
Make sure they're all covered with it well. The goal is to stop the cooking process, while the abrupt temperature change will make the meat very tender and easy to peel without tearing them (this is the 2nd important element).
Serve with quartered lemons.
Notes:
You can use sea water (no need to add salt then) if living near the coast. Try to get it from a clean region, although considering the pollution nowadays this may not be a good idea.