Melt butter, and cook vegetables over medium heat in a heavy saucepan until tender. Add in the water, bay leave, salt, pepper, lemon slice, shrimp, and 1/4 cup of the sherry.
Simmer the bisque for 30 minutes. Remove from heat and let the mixture cool to warm.
Remove the bay leaf and lemon slice.
Carefully puree the mixture in a blender in batches until smooth, and pour the bisque in the top of a double boiler. Stir in the cream and the rest of the sherry, and slowly heat up to the desire temperature.
Serve warmed.
Recipe Notes
Adapted from Cooking Across the South, Oxmoor House, 1980.