Dice onion/peppers/celery and mince garlic.
Place your favorite dutch oven over medium heat. Melt the butter in said oven, and add the flour. Stir and cook for 3-4 minutes or until golden. Stir in onion/peppers/celery/garlic, along with the salt and cayenne, and cook for another 3-4 minutes.
Once veggies are just soft, add in tomatoes/bay/thyme/stock and bring to a simmer. Simmer for 10 minutes, then stir in cornstarch (loosened with a splash of water) to thicken stew.
Add in the shrimp to cook (~7 minutes once it returns to a simmer). Once shrimp is cooked, serve over rice or with crusty bread.