Bring 2 quarts water to a boil; add shrimp, and cook 3 to 5 minutes. Drain well; rinse with cold water. Peel and devein shrimp. Combine shrimp, cucumber, and onion in a large bowl; set aside.
Combine vegetable oil and next 7 ingredients in a large saucepan. Bring to a boil; reduce heat, and simmer 3 minutes. Let cool. Stir in capers and next 5 ingredients. Pour over shrimp mixture; toss. Cover and chill 8 hours. This must be kept cold.