Boil potatoes 15 to 20 minutes or until tender. Drain, cut in half and set aside.
While potatoes are cooking, cut down the back of each shrimp with kitchen shears or scissors, making sure the shell stays on. Thread 3 to 4 shrimp onto a skewer. Repeat with remaining shrimp and skewers.
Cut each ear of corn into 3 pieces. Grill potatoes and corn, with grill lid on, over medium-high heat (350 degrees) until corn and potatoes are cooked, about 4 to 5 minutes. Remove, toss with 2 tablespoons butter and 1 tablespoon Cajun seasoning and set aside, keeping warm.
Grill shrimp, with grill lid on, 2.5 to 3 minutes per side, or until flesh is just milky white all the way through. Remove shrimp from skewers, and add to corn and potatoes, along with remaining butter and seasoning.