In a large skillet, heat 2 tablespoons of the vegetable oil over medium heat. Add the mustard seeds. As soon as they begin to sputter, add the curry leaves, onions and ginger; saute until the onions are golden brown, 5 to 7 minutes.
Reduce the heat to low. Add the chili powder, sambar masala, 1/4 teaspoon of the turmeric and some salt and saute for 1 minute. Add the coconut milk and simmer until the mixture is slightly thickened and has turned a deeper shade of gold, about 5 minutes.
Pat dry the shrimp. Combine the remaining 1/4 teaspoon turmeric and some salt in a medium bowl. Add the shrimp and toss to coat. Heat the remaining tablespoon vegetable oil in a second large skillet over medium heat. Add the shrimp and cook, tossing occasionally, until pink, 4 to 6 minutes. Add the shrimp to the coconut curry. Serve over rice.