What you will need:
Fresh, peeled and deveined large/jumbo shrimp
anchovy filets cut into quarters (one cut lengthways and one cut in half)
bacon cut into thirds
This is very easy to do and yields amazing flavor.
you take the shrimp and lay a piece of the anchovy where the vein was. Wrap a piece of bacon around the shrimp and slide on a skewer to hold the bacon in place. Once all your skewers are full, place shrimp on grill and cook on medium heat until the bacon is cooked. You can smoke this but the shrimp take on alot of smoke and turn a very dark color. I personally prefer to grill them with a little smoking wood for flavor.
Do not be scared to try this recipe because you don't care for anchovies. We don't eat anchovies on anything but this and we absolutely love it. Also, beware of telling others that there are anchovies in the recipe because I have had people say they are awesome but they just can't eat them because they can't get past the thought of anchovies. So I never tell anyone the ingredients no matter how much they ask, and I have yet to have anyone else say they don't like them.
I will post pics next time we cook up some.