To make the dressing: Finely chop the garlic and anchovies in a food processor. Blend in the lemon juice and mustard. With the machine running, gradually blend in the oil and cheese. Season the dressing, to taste, with salt and pepper.
To make the salad: Prepare the barbecue for high heat. Grill the lettuce until lightly charred, about 2 minutes per side. Cut the lettuce into bite-size pieces.
To make the shrimp: Preheat a grill pan over a medium-high flame, or prepare a grill. Toss shrimp with the olive oil, sprinkle with salt and pepper, toss again and grill until cooked through, 2 to 3 minutes per side. Transfer the shrimp to a plate and drizzle with the lemon juice.