Heat butter in small noncorrosive saucepan over low heat. Add shallots and garlic and cook 2 minutes. Pour in Cognac, warm, and ignite. Shake pan until flames subside. Stir in tomatoes, cream, fish broth, wine, tarragon, cayenne, salt, and pepper. Simmer uncovered, stirring occasionally, 10 minutes.
Place four 12-inch square of aluminum foil on work surface. Spoon 2 T. tomato sauce onto center of each square. Place broccoli florets on sauce and shrimp on broccoli. Double fold foil to seal packages and place on baking sheet.
Bake 15 minutes. Check shrimp in 1 packet; they should be pink and curled. Serve hot.