If your shrimp are sealed in a bag, you are good to go, but if the shrimp are not in an airtight bag, you'll want to transfer them to a sturdy plastic bag with a secure zipper top closure.
Place the bag in the cold water. Place a bowl or something with some weight on top of the shrimp so that they stay submerged in the cold water.
Keep the shrimp in the water for about 25 to 30 minutes until the shrimp are thawed. Every so often, use your hands to try and separate the shrimp within the bag without opening it so that they defrost more quickly and evenly.
Remove the shrimp from the bag. Unless you are poaching them or adding them to a soup or stew, you want to dry the shrimp well before cooking so they will get nice color on brown a bit on the outside when you cook them in a pan or in the oven. To do this, peel the shrimp (unless you are planning to cook them in the shell). Spread the peeled shrimp out on a platter or board lined with a clean dish towel or dry paper towels to soak up excess moisture. Blot with another dish towel or more paper towels. Proceed with your recipe.
Notes
Frozen shrimp will last for up to 9 months, but using them within 3 months will result in the best flavor and texture. Buying frozen raw shrimp in the shell is your best bet: pre-peeled shrimp may have additives included to preserve freshness, while shrimp with their peels on are less likely to have anything added. Also, pre-shelling and cleaning shrimp before freezing them can cause a loss of flavor and texture.
Defrosted shrimp should be refrigerated and used within 1 to 2 days.