Wipe them very gently with paper towels and use a sharp knife to separate the two roe sacs, but be careful not to puncture the membrane that contains the roe. Melt A LOT of butter in a frying pan over quite high heat until it foams, then add the roe and cook uncovered for a minute or two to sear, lower the heat to medium low and cover and cook another couple of minutes. Then very carefully and gently flip them over (years ago a fish vendor said to my father, "don't break the little f**kers" and my very prim and proper mother takes much glee in repeating this every time we talk about shad roe), cover again and continue cooking on medium low for another 3 or 4 minutes. Now take one out and make a little nick to check for doneness -- there should be just the faintest hint of pink. Serve with all that lovely butter poured over and either capers on top or a lemon wedge. I like to sprinkle with a bit of sea salt. A classic variation is to cook some bacon first, take out of pan, use the bacon grease to cook the roe and serve them with crumbled bacon on top -- but much as I love love love bacon, I think it kills the delicate flavor of the roe. We had the roe with asparagus and tiny red new potatoes. Bliss. Thanks for the tip about the great prices on shad roe at New Deal!