Light a grill. In a large bowl, blend the achiote, garlic, orange and lemon juices, chile powder, cayenne and 1/4 teaspoon of salt. Whisk in the oil. Add the shrimp and toss. Refrigerate for 30 minutes.
Thread the shrimp onto six 12-inch skewers. Season with salt; reserve the marinade. Grill the shrimp over a hot fire, basting with the marinade, until barely cooked through, 2 minutes per side. Transfer to plates, sprinkle with the cilantro and serve with Summer Vegetable Rice and lemon wedges.
Achiote powder is ground from achiote (annatto) seeds. It has no discernible flavor and is used in Latin cooking to give dishes a reddish-orange color. Achiote powder and seeds are available at Latin markets and some supermarkets.