Place mushrooms on a baking sheet face down and bake for 10-12 minutes. You can also use an oven safe wire rack to place them on or directly on the pan. You want to put them face down so that the juice that is released comes out and isn't left inside.
While mushrooms are cooking, start the shrimp. In a skillet, melt the butter and garlic over low heat. Add the shrimp and cook for 2-3 minutes. You want the shrimp to be barely pink.The shrimp will continue to cook in the oven. Stir in the parsley.
Remove mushrooms from the oven and place face up. Add a little cheese inside each mushroom and top each with a shrimp. Drizzle the butter sauce from the pan on top of each shrimp and top with additional cheese.
Bake for 5-8 minutes or until the cheese is melted.