Make the brine using 1 tablespoon of Old Bay and set aside. Peel and devein the shrimp, add to brine and let soak for 30 minutes at room temperature. Remove shrimp from the brine, and rinse with cold water then pat dry with paper towels. Toss the shrimp with 1 tablespoon of olive oil and 1 tablespoon of Old Bay. Place the shrimp on a baking sheet and broil for 2 minutes, turn shrimp over and broil until done, about 2 minutes. Transfer the cooked shrimp to a large plate and refrigerate immediately. Combine the cocktail sauce ingredients in a blender and chill. Serve the shrimp with the cocktail sauce.