Peel and devein shrimp. Reserve the shells. In a small saucepan, bring water, ½ teaspoon fennel, pepper and shells to boil. Simmer uncovered until liquid is reduced to ½ cup. Strain and reserve liquid.
In a medium skillet, sauté shrimp in 3 tablespoons of butter, sprinkling with the remaining ¼ teaspoon of fennel. Remove shrimp to a serving dish.
Make a sauce by whisking together in skillet reserved shell liquid, lemon juice and remaining butter. Pour over shrimp.
Contributed by Joyce Taylor From: No-Salt Seafood: All the Flavor Without the Salt