Cook the linguine according to package directions, and save one cup of the cooking water. Drain and return the pasta to the pot. Add a drizzle of olive oil to prevent it from sticking.
Season the shrimp with salt, pepper, and Cajun seasoning
In a large saucepan, heat the olive oil, and cook shrimp just until pink, about 2 minutes. Remove from the pan and transfer to a plate.
Using the same saucepan, melt the butter and whisk in the flour. Cook it until slightly golden.
Whisk in the white wine and the heavy cream. Keep whisking to prevent lumps from forming, and cook for about a minute.
Whisk in the reserved pasta water and Parmesan cheese. Season with salt and pepper
At this time, mix in the linguine
Return the cooked shrimp to the pan and add the chopped parsley. Mix everything together and check the seasoning for salt.