If you have purchased shrimp that is still in the shell, they will typically still contain the black vein that runs along the back of shrimp, which is the digestive tract. Whether the veins are left in or out, there is seldom a flavor difference unless the vein is large and contains a high volume of grit and digested material. It is removed more for the appearance than taste. See How to Prepare and Devein Shrimp
for step-by-step instruction on removing this vein.