Add the shrimp to a mixing bowl and season with cayenne, paprika and chili powder. Add about two pinches of salt and a small pinch of black pepper. Mix gently until all the shrimp are coated.
In a sauté pan, heat olive oil and cook the shrimp for about 2-3 minutes per side.
In the meantime, add the milk and water to a large pot and bring to a boil. Once boiling, add polenta and whisk continuously until cooked (about 5-8 minutes). Add more milk as needed to get a creamy texture. Lastly, add in the parmesan cheese and season with salt.
Serve shrimp over the polenta! I like to use a shallow bowl and then top with some extra freshly grated Parmesan cheese. Enjoy!