Heat a pot (4 - 5 quarts in size) over medium heat. Drop in the shrimp shells and toss them about for a few minutes, until they start to turn coral-pink. Pour in the water and bring to a gentle simmer. Season with salt and keep simmering for 15 minutes.
Shut off the heat and let it steep until cooled. Strain it through a fine mesh sieve.
Wipe the pot clean. Return the stock to the pot and simmer for an additional 10 minutes or so, until it's down to 2 quarts.
This will keep for about 3 - 5 days in the fridge, or frozen for 6 months.