Preheat oven to 400°F. Combine cornstarch, salt and cayenne in dish. Beat egg white with a mixer until frothy, about 2 minutes. Place coconut in a dish. Dredge shrimp in cornstarch mix. Dip in egg white. Dredge in coconut. Place shrimp on baking sheet coated with Pam. Lightly coat shrimp with Pam. Bake for 20 minutes, turning after 10 minutes.