Heat the oil in a saute pan over medium heat with the whole clove of garlic skin on, just until the skin on the garlic starts to brown.
Meanwhile salt the shrimp with a half a teaspoon of salt. Once the whole garlic clove has started to brown, add the sliced garlic, and as soon as the sliced garlic just barely begins to brown, add the arbol chili, bay leaf, and the shrimp.
Toss everything together in the saute pan cooking the shrimp. When the shrimp is halfway cooked (still raw in the center), remove from the heat and add the sherry, mix well, and return to the stove over medium heat.
As soon as the shrimp is just cooked through, remove the shrimp from the pan with tongs and place on the serving dish. Return the sauce to the stove and reduce a little bit, tasting and adjusting the seasoning for salt.
Pour the hot sauce over the shrimp and serve immediately.