Heat your grill to high and form burgers into 4 patties.
Toss shrimp with the olive oil and Old Bay and place in seafood grilling pan. Grill until just done, about 1-2 minutes per side. Remove from grill and set aside.
Place burgers on the grill and grill until they are done to your liking, about 3-4 minutes per side for medium rare.
Assemble surf and turf burgers as follows: roll, burger, lettuce and tomato, generous amount of dressing, shrimp, top of roll. Serve at once.