The Torah commands Jews not to eat certain foods. Food that we are allowed to eat is called Kosher. For a fish or seafood to be Kosher, it must have fins and scales. All seafood such as shrimp that do not have those Kosher signs are not Kosher. For a complete listing of kosher fish, see the Kosher Fish List.
The definition of fins and scales must be as designated by Jewish law. Not everything commonly called a "scale" meets the Torah's criteria. When buying fish, it should either be bought whole so that you can see the fins and scales or if the fish is sliced, filleted, or ground, it should be bought only from a fish store that sells kosher fish exclusively. This will ensure that knives or other utensils are used only on kosher fish, and that no other mix-up can occur.
There is no logical reason why we keep Kosher. Kosher food is not necessarily healthier than non-Kosher. The great sage Nachmanadies points out that poisonous plants are Kosher. This Mitvzah is considered a Chok - A command that is beyond our comprehension. G-d gave us many such commandments so that we learn to accept a higher authority and appreciate the limits of our own comprehension
Even so, we can always learn lessons from the specifics of each mitzvah. The qualities of a Kosher fish, fins and scales, teach us a powerful lesson. As the armor that protects the body of the fish, scales represent the quality of integrity, which protects us from the many pitfalls that life presents. Fins, the wing-like organs that propel fish forward, represent ambition, a healthy sense of ambition, knowing one's strengths and wanting to utilize them in full. These two qualities are essential to survive and be successful in the raging waters of life.