Prepare 3 bowls as follows:
BOWL #1 – Combine flour with salt and pepper. Set aside.
BOWL #2 – Whisk egg and milk together. Set aside.
BOWL #3 – Place coconut in a shallow bowl. Set aside.
Place a cooling rack on top of a baking tray. Set aside.
Lay shrimp on paper towel and pat dry.
Dip each shrimp into the bowls in order; flour, egg, coconut. Place on the wire rack to allow coating to adhere to shrimp. Can be done 1 hour in advance.
Heat oil in a sauté pan over medium-high heat. Cook shrimp for 2 minutes, turn and cook for another 1-2 minutes until coconut is brown and shrimp are cooked through.
Serve with sweet Thai chili sauce.