Heat olive oil in a Dutch oven over medium heat. Add onion; cover and cook onion 5 minutes. Stir in jalapeño and curry, and cook 2 minutes. Stir in squash, water, and salt, and bring to a boil over medium-high heat. Cover, reduce heat, and simmer 30 minutes or until squash is tender. Place half of the squash mixture in a blender; process until smooth. Pour the puréed squash mixture into a bowl. Repeat procedure with the remaining squash mixture. Return the puréed squash mixture to pan, and stir in the milk and sherry; cook 5 minutes or until soup is thoroughly heated.