Pierce softest eye of coconut with a small screwdriver, then drain liquid and discard.
Bake coconut in a shallow baking pan until it cracks, about 20 minutes. When cool, wrap in a towel and break shell with a hammer. Pry flesh from shell with screwdriver and peel off brown membrane with a vegetable peeler. Rinse coconut flesh. Coarsely grate coconut on large holes of a box grater using light pressure in long strokes to produce long, feathery flakes.
Cut peel and pith from oranges with a sharp paring knife. Working over a large bowl, cut segments free from membranes, letting them drop into bowl; squeeze juice from membranes into bowl.
Gently toss oranges with coconut, sugar, salt, and Sherry. Chill, covered, at least 1 hour.
