First, make the dressing: Zest 1 orange into a bowl, then juice both oranges and boil the juice down in a small saucepan to about 3 tablespoons. Meanwhile, mince the shallot and put it in a ramekin with the vinegar poured over. Set aside 5 minutes. Add the mustard to the zest. When the orange juice has reduced, strain it over the zest. Drain the shallot, discarding the vinegar, and add. Whisk all together, then slowly whisk in the oil. Taste, and season with salt and pepper. Set aside.
Bring a saute pan full of water to the boil. Salt it, then add the asparagus and cook until tender. Drain, and immediately rinse under ice-cold water to set the color. Pat dry with paper towels and transfer to a serving platter. Spoon over the sauce. Shave over Parmesan cheese. Grind over some pepper and serve.