Place pepper on an aluminum foil-lined baking sheet.
Broil 5 inches from heat (with electric door partially open) about 5 minutes on each side or until pepper looks blistered.
Place pepper in a heavy-duty zip-top plastic bag; seal and let stand 10 minutes to loosen skins. Peel pepper; remove and discard seeds.
Process pepper and next 3 ingredients in a food processor until smooth. With processor running, pour oil through food chute, processing until mixture thickens. Add whipping cream and salt; pulse 2 or 3 times.