Shuck oysters and reserve meat; save shells. Thoroughly wash oyster shells and pat dry.
In a 4-quart saucepan, sauté mushrooms in oil. Remove from pan and set aside. Melt butter and sauté garlic, bell pepper and shallots until tender. Add shrimp, then sprinkle in flour, stirring constantly. Add mushrooms. Continue stirring and add brandy to deglaze pan. Stir in cream and cook until smooth.
Add cheese, bread crumbs, parsley, salt, pepper and cayenne. If the mixture is too thick, add 1 or 2 tablespoons of milk and whisk to blend. Remove from heat, allow to cool and then refrigerate for about 1 1/2 hours.
Preheat broiler. In a 4-quart saucepan, simmer oysters in water just until edges curl. Remove from heat. Spread rock salt in a layer about 1/4- to 1/2-inch deep over the bottom of 4 glass or metal pie pans. Return oysters to cleaned shells and place 6 shells in each pan of rock salt. Spoon 1 heaping tablespoon sauce over each oyster. Broil until golden brown and bubbly, about 5 to 7 minutes.