Place a coffee filter in a colander or mesh strainer.
Add the yogurt and allow to stand in the fridge over a bowl to drain for an hour or two.
In a large skillet, sauté the garlic in olive oil for only a minute before adding the anchovies and tomatoes; season with salt and pepper.
Add the capers, brown sugar, balsamic vinegar and about 1 tbsp. of the Cajun spice blend and cook until the sauce begins to thicken to a jam-like consistency.
Add the basil in the last minute or so of cooking along with the grilled Cajun shrimp and strained yogurt.
Simmer for just a minute or two before serving.