Cut and assemble all vegetables on a tray. Lightly brush with oil.
Pat shrimp dry, sprinkle with salt and brush with oil. Grill for about 2 minutes per side or until shrimp are pink. Cool then cut each shrimp into 3 or 4 pieces. Set aside.
Grill corn on all sides until lightly browned.
Grill onion slices for a few minutes per side until charred and soft.
Grill red pepper until black on all sides. Place in a plastic bag and steam for 5 minutes then gently peel off blackened skin.
Once cooled cut corn off the cob, chop onion and pepper.
In a large bowl combine cooked shrimp, chopped vegetables, jalapeno, cilantro and avocado. Can be prepared several hours before serving.