Combine 2 cups flour, milk, egg yolks, olive oil, and salt in a large mixing bowl; mix well.
Beat egg whites (at room temperature) in a small mixing bowl until stiff peaks form. Gently fold into prepared batter.
Dredge shrimp in remaining flour; dip in batter. Fry in hot oil (375°) until shrimp are golden brown and float to top; drain.
Transfer shrimp to a warm serving platter; serve with cocktail sauce.