Preheat oven to 400 degrees F (200 degrees C). Place the squash, cut side down, on baking sheets and roast for 45 minutes, or until flesh is soft. Scoop out the flesh into a large bowl.
In a medium saucepan over medium heat, melt the butter. Saute the onion, stirring frequently, for 5 minutes or until tender. Stir in the garlic, ginger and curry powder and cook 1 minute. Add the apples and sherry and simmer for 10 minutes, or until apples soften.
Puree batches of the squash flesh and broth in a food processor or blender. Transfer the squash puree to a large saucepan. Puree the apple/sherry mixture and stir into pureed squash.
Heat over medium heat and season with salt, pepper and cayenne, to taste.