Melt a piece of butter in the pan and fry the shallots over low heat.
Then add the vinegar, wine and water and bring to a boil over low heat.
Now gradually beat in the butter. Always melt some butter and then the next batch. Continue until you have a nice emulsion.
Season with salt, pepper, cayenne pepper and lemon juice, if desired.
Finally, strain the sauce to remove the shallots. The sauce is now ready to use.