In a blender or food processor, puree the cashews and water until smooth and creamy. Set aside.
In a heavy, dry pan, sauté the onion, carrot, and celery over medium heat until the carrot is tender. If the ingredients begin to stick, add water, 2 tablespoons at a time.
Add the stock, shrimp, salt, and cayenne pepper to the pan, and heat until the shrimp are pink and cooked through.
Pour the entire mixture into a blender or food processor and puree with the cashew cream until smooth.
Poor the mixture back in the pan, add the sherry, and heat through.