Red Lobster's Shrimp Diablo

I received an email today from Recipe Robot and this was one of the featured recipes.

• Ready In: 15 mins
• Yields: 3 pounds shrimp

Ingredients

• 3  lbs  large raw shrimp, still in their shells (no heads)
• 1  cup milk, enough to cover the shrimp overnight
• 1⁄2 lb unsalted butter
• 1 (12 ounce) jar barbecue sauce, Kraft
• 1⁄2 cup ketchup
• 1  tablespoon fresh ground pepper
• 1⁄4 cup  Frank's red hot sauce

Directions

1. Wash shrimp in cool water and remove heads if needed. Soak shrimp in milk overnight in the refrigerator.
2. Mix all sauce ingredients in a sauce pan and stir until boiling. Remove from heat and refrigerate for at least four hours.
3. Drain milk from shrimp, place them in a baking pan, and cover evenly with the sauce. Let stand 1 hour.
4. Bake uncovered in preheated oven (450F) for 15 minutes (less time for smaller shrimp).