In a large nonstick skillet, heat 1 teaspoon of the olive oil over medium-high heat. Add the shrimp to it and sauté until they turn pink. Set aside and keep warm. In a small bowl, whisk the milk, flour, sherry, and egg yolk together, and set aside. In the same skillet, add the remaining oil, and heat it. Add the mushrooms and sauté for a couple of minutes.