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1. Preheat the oven to 450. Shell the shrimp. Devein them by making ashallow incision down their backs with a small, sharp knife and liftingout the black or white intestinal vein with the point of the knife.
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2. Washthe shrimp under cold running water and pat them dry with paper towels, then chop them coarsely. Melt 2 tablespoons of the butter in a smallskillet.
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3. When the foam begins to subside, drop in the shrimp and, stirringconstantly, cook over moderate heat for 2 or 3 minutes, until theybegin to turn pink. Set aside off the heat.
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4. Pour the oyster liquor into a large measuring cup and add enough milkto make 1¾ cups. Stir in the wine. In a heavy 8- to 10-inch skillet, meltthe 4 remaining tablespoons of butter over moderate heat, but do not letit brown.
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5. Then stir in the flour and mix together thoroughly. Pour in themilk, oyster liquor and wine mixture and, stirring constantly with a whisk, cook over high heat until the sauce boils and thickens lightly.
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6. Reduce the heat to low and simmer for about 3 minutes. Then beat the egg yolk lightlyin a bowl, add about ¼ cup of the sauce, and whisk the egg-yolk mixtureinto the sauce in the pan.
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7. Add the pepper and salt and taste forseasoning. Remove the pan from the heat and stir in the reserved shrimp.
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8. Fill a large shallow baking dish to a depth of about ¼ inch with rocksalt or coarse salt. (The salt will not only act as a bed for the oysters butalso help keep them hot after they are cooked.)
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9. Spoon about 1 tablespoonof the shrimp sauce into each oyster shell, top with an oyster, andblanket the oyster with a second tablespoon of the shrimp sauce. Arrangethe filled shells side by side in the salt-lined baking dish.
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10. Bake in the topthird of the oven for about 8 minutes, or until the sauce has barely begun to bubble. Sprinkle the oysters evenly with the bread crumbs and the cheese.
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11. Return them to the oven for another 3 or 4 minutes, or until thecheese melts and the crumbs brown lightly. You may then, if you like, slide them under the broiler (about 3 inches from the heat) for a minuteor two to brown the tops further. Serve at once.
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