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 <a href="http://www.foodandwine.com/recipes/summer-vegetable-rice">Summer Vegetable Rice</a> 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.