Put the anchovies or anchovy paste in a large bowl and add in the lemon juice. Mash the anchovies to break them up into a paste with the lemon juice. Add in the mustard and garlic and continue to mash together to form a paste. Slowly stir in the mayo to combine. Store in the fridge until ready to use.
Bring a frying pan to high heat and drizzle in some oil. Add in the shrimp and a liberal amount of cajun seasoning to coat the shrimp. Toss the shrimp in the oil and seasoning and cook about 3-5 minutes until cooked through. You know the shrimp are cooked with they form a “C” shape, but a tighter “O” shape is overcooked.
Toss all the lettuce in a large bowl with the dressing, starting with just half then adding more to your personal tastes. Plate the lettuce and top with the shrimp.