1. Prepare grill or heat broiler.Prepare seasoning:
2. Combine anchovy if using, mustard, lemon juice, vinegar, water, Worcestershire and Parmesan in food processor or blender. Puree until smooth. With machine running, slowly add oil. Transfer to small measuring cup.Prepare skewers:
3. Combine shrimp, sweet peppers and half of the seasoning in large bowl.
4. Skewer shrimp on 4 metal skewers, alternating with pieces of pepper. Place any remaining peppers on separate skewer. Sprinkle skewers with 1 tablespoon Parmesan.
5. Grill or broil skewers 5 inches from heat for 4 minutes. Turn skewers; sprinkle with remaining tablespoon Parmesan cheese. Grill another 3 to 4 minutes or until cooked through.
6. Stir finely chopped sweet pepper scraps into half of remaining seasoning mixture; stir into prepared rice. Transfer rice to serving platter.
7. Brush skewers with remaining seasoning mixture. Serve with rice. Makes 4 servings.