Have all your ingredients ready along with a bowl with cold water and your bamboo mat beside you.
Using the bamboo mat, place nori sheet rough side up and taking a handful of rice, spread it in a thin even layer, leaving about 1" on the end that's away from you. Dip your hands in the water to help prevent rice from sticking to you and ease the spreading on the nori. Sprinkle with some sesame seeds then taking the empty (no-rice) end, gently pick up the nori sheet and turn it over so that the rice is now at the bottom and the empty end is facing you.
Arrange cucumbers in an even row roughly in the middle but a bit closer to you. Place shrimp beside the cucumber and finally arrange sliced avocados on top.
Next, using the bamboo mat, gently but firmly begin to roll the nori and when you get to the filling (the veggies and shrimp), try to tuck the nori under as you continue to gently roll your sushi. If you need to stop and adjust the tightness go ahead. Continue rolling and using the bamboo mat as a guide. Once sushi is completely rolled up, remove mat from underneath rolled sushi, place it on top of sushi and carefully apply some even pressure across the entire roll to help shape and further tighten the maki.
Repeat steps above until all of the rice is used up.
Using a sharp knife, cut even pieces using a see-saw motion. Place on serving plate and serve immediately alone or with the spicy mayo. Otherwise refrigerate in a lidded container.