I agree with PinkyPetunia, the cognac or sherry does give it some flavor, and depending on your recipe you could probably saute the shrimp or leek/onion in the cognac and it would burn off the alcohol content while leaving the flavor. However, since cognac is not inexpensive there are certainly alternatives.
I found this link helpful, it provides non-alcoholic cooking alternatives when wine or spirits are called for in recipes.
homecooking.about.com/library/archive/blalcohol6.htm
P.S. I would also love to have your recipe, shrimp or lobster bisque is one of my favorites. 
ETA: For cognac, they say to use peach, apricot or pear juice.