Preheat the oven to 200°C.
Place the prawns on a sheet pan and sprinkle with the salt and pepper. Pour the olive oil and juice over the prawns, and roast in the oven for 5 to 6 minutes.
For the dressing, place the mayonnaise, ketchup, capers, gherkins, sweet pickles, lemon juice, salt and pepper in a bowl, and stir until blended. Serve with the roasted prawns.