Place bell pepper on an aluminum foil-lined baking sheet.
Bake at 450° for 15 minutes or until pepper is blistered, turning once.
Place pepper in a heavy-duty zip-top plastic bag; seal and let stand 10 minutes to loosen skin. Peel pepper; discard seeds.
Process pepper and 1/4 cup mayonnaise in a food processor until smooth. Stir in remaining 1/4 cup mayonnaise, sherry, and remaining ingredients. Chill.