Could be vorticella, a parasite. If you only see it on one shrimp, you can do a salt bath.
If you notice several shrimp with it, you can treat the tank using Paraguard (start off with a 1/4 dose) or Fenbendazole (dog/goat dewormer).
If you notice several shrimp with it, you can treat the tank using Paraguard (start off with a 1/4 dose) or Fenbendazole (dog/goat dewormer).