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HEAT oven to 375ºF.
COVER baking sheet with foil; spray with cooking spray. Beat egg in shallow dish; empty cheese mixture into separate shallow dish. Dip shrimp, 1 at a time, in egg then in cheese mixture, turning to evenly coat shrimp. Place on prepared baking sheet. Discard any unused cheese mixture.
BAKE 20 min. or until shrimp are tender and golden brown.
SERVE over greens; top with dressing.