Peel and finely chop the shallot. Saute in hot oil until translucent. Add the peanut butter and lightly saute, stirring constantly. Deglaze with the coconute milk and stir in a little chicken broth.
Simmer for about 5 minutes, adding extra broth as necessary. Season with salt and cayenne pepper. Serve hot or lukewarm, sprinkled with chopped peanuts.