Peel and devein shrimp, leaving tails intact. Make a slit down inner curve of each shrimp, starting with the tail; press lightly to flatten. In a shallow dish, combine the cornstarch, salt and cayenne; set aside. In a bowl, beat egg whites until stiff peaks form. Place the coconut in another shallow dish. Coat shrimp with cornstarch mixture; dip into egg whites, then coat with coconut.
In an electric skillet or deep-fat fryer, heat oil to 375°. Fry shrimp, a few at a time, for 1 to 1-1/2 minutes on each side or until golden brown. Drain on paper towels.
In a bowl, combine salsa ingredients. Serve with shrimp. Yield: 6 servings.