Place the flour into a bowl. Smooth out the lumps with a knife. In a Dutch oven (over medium-high heat), pour the oil in. Allow the oil to come up to heat. Carefully sprinkle the flour into the oil, while whisking constantly - from this point on - with a long wire whip. For the roux to achieve a dark chocolate brown color, it will take about 6-8 minutes of whisking.
Lower the heat. Carefully add the onion, green bell pepper and celery mixture. Continue to stir with the whip, until the roux/aromatics emit something like a cinnamon aroma. Break the roux down with wine and cold water. Add ground cayenne pepper and salt to taste. Cover the pan and simmer for 45 minutes.
Dry off and de-vein the shrimp. Increase the heat on the pan until the liquids boil. Throw in the shrimp. When the liquids come back to boiling, stir, shut off the heat and clamp the lid. Allow the dish to rest for 8-10 minutes. Serve over rice or pasta.