Thaw frozen shrimp. Rinse, peel, and clean shrimp before anything else.
In a large pan, heat oil over medium heat. Sauté onion, jalapeno, and bell pepper until softened (about 4 to 5 minutes). Remove veggies with a slotted spoon and set them aside in a bowl.
Add coconut milk, red curry paste, fish sauce, and brown sugar to the pan and heat over medium heat. Whisk everything together and bring it to a boil.
In a small bowl, dissolve the cornstarch in water with a whisk. Add to sauce and simmer until thickened. Stir occasionally and cook for about 5 minutes.
Gently pat shrimp dry and add to the sauce. Add in veggies and simmer until shrimp are fully cooked.
Taste your curry and adjust seasonings if desired. Garnish with cilantro and serve alongside steamed rice.