In a skillet, heat the oil; add red pepper, onion and shrimp. Sauté until shrimp is about halfway done. In a bowl beat the eggs, milk, cayenne, and cilantro. Add to the shrimp and vegetables and scramble together. While egg mixture is cooking, spread a thin layer of cream cheese one each of the tortillas. Fill with egg mixture, top with a dollop of salsa and roll into burritos.