Mix Pina Colada mix, water, crushed pineapple, coconut, and powdered sugar in a sauce pan.
Heat on medium low temperature until sauce begins to simmer, stirring frequently.
Let mixture simmer slowly 10 - 12 minutes.
Mix corn starch and water together, add to sauce and blend well.
Let mixture simmer for 3 - 5 minutes longer while stirring during and after adding cornstarch.
Remove from heat and bring to room temperature.
Sauce is served at room temperature with Parrot Bay Rum Shrimp.