Preheat oven to 400 degrees. Lightly coat a baking sheet with cooking spray.
Rinse and pat dry the peeled and deveined shrimp.
In a small bowl mix the cornstarch, salt, and cayenne pepper.
In another bowl beat the 3 egg whites until they are foamy.
In a third bowl pour the 2 cups of coconut.
Add shrimp one at a time, coating first in the cornstarch mixture (covering it completely), then dip it in the egg mixture, and then roll it in the coconut.
Place shrimp on the baking sheet and repeat until you run out mixture. (I completely coated about 30 shrimp).
Bake for 15-20 minutes, turning them over halfway through the cooking time until the shrimp is pink on the outside and the coconut is lightly browned.