Butter one side of each bread slice. Divide and top the unbuttered side of 2 of the bread slices with half the sliced cheese. Divide and top those cheese slices with the sliced avocado and shrimp. Divide and top the shrimp with the salsa and remaining slices of the cheese. Top the cheese with the other slices of bread, set buttered side up.
Set a large non-stick skillet over medium heat. Add the sandwiches and cook 3 to 4 minutes per side, or until the cheese is melted and the bread is nicely toasted. Slice the sandwiches in half and serve.