Combine first 5 ingredients in a large bowl; cover and chill 1 hour. Grill shrimp over medium-high heat 3 to 5 minutes or until done.
Place greens in 4 martini glasses or serving dishes. Dollop 3 tablespoons horseradish sauce in center of each, and arrange 4 shrimp around rim. Serve with lemon slices.
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