Stir together the water and sugar in a small saucepan. Bring to a boil and add the walnuts. Boil for 2 minutes, then drain and place walnuts on a cookie sheet to dry.
Whip egg whites in a medium bowl until foamy. Stir in cornstarch until it has a pasty consistency. Heat the oil to 350 degrees F in a heavy deep skillet over medium-high heat. Dip shrimp into egg white-cornstarch batter then fry in batches in hot oil until golden-brown, about 5 minutes per batch. Remove with a slotted spoon and drain on paper towels.
In a medium bowl stir together mayonnaise, honey, and sweetened condensed milk. Add fried shrimp and walnuts, tossing to coat.