In a large, heavy saucepan, sauté the 2/3 cup chopped mushrooms quickly in a small amount of vegetable oil. Remove from pan and set aside.
In the same pan, melt the 4 tablespoons unsalted butter and render the garlic and shallots, stirring frequently until soft. Add the diced shrimp, then sprinkle in the flour. Stir all together, add the reserved mushrooms. Deglaze pan with the brandy while stirring constantly. Stir in the heavy cream, cook until smooth before adding Romano cheese, dry bread crumbs and parsley, salt, pepper and cayenne. A small amount of milk may be added if the mixture is too thick.
Remove from heat, allow to cool then refrigerate for about 1 1/2 hours. Half an hour before you plan to bake the oysters, place the pans of rock salt in a preheated 500° F oven.
Wash oyster shells well, pat dry. Put oysters on shells, place six in each pan of rock salt. Spoon one heaping tablespoon of sauce over each oyster. Bake for 15 to 18 minutes until well browned.
Makes: 4