Squeeze lemon juice into 4 qt water in a 6- to 8-quart pot, then stir in lemon quarters, Creole seasoning, 2 teaspoon cayenne, bay leaves, garlic, potatoes, and 2 tablespoons salt (omit salt if it is the first ingredient in seasoning).
Bring to a boil, then simmer, partially covered, until potatoes are almost tender, 10 to 12 minutes.
Increase heat to high, then add corn and simmer, partially covered, 4 minutes. Stir in shrimp and cook until just cooked through, 2 to 3 minutes.
Meanwhile, stir together ketchup, mayonnaise, horseradish, and remaining 1/2 teaspoon cayenne.
Drain shrimp, potatoes, and corn and serve with sauce.
