Add jalapeno, red pepper, shallots and garlic and stir for 1-2 minutes, until slightly softened and aromatic.
Add 4 cups of water, cover saucepan, and bring to a boil.
Remove saucepan from heat and let polenta cool slightly, then spoon in a long rectangle onto a double layer of plastic wrap. Wrap excess plastic wrap around polenta so it is completely encased. Then, using your hands, shape polenta into a fat log, eliminating air bubbles as you shape and roll. Wrap log in aluminum foil and chill in refrigerator at least 3 hours or overnight.