In a large stockpot, saute the onion, celery, parsley and carrots in the oil until onion is clear. Place the cloves, bay leaf and peppercorns in a cheesecloth bag and place in stockpot, along with the stock. Simmer, covered, for 1/2 hour.
While the stock is simmering heat the milk in a saucepan or in the microwave. Make the roux in a medium saucepan; add the warmed milk, whisking to incorporate. Continue stirring over medium heat until milk is thick, add the cayenne and set aside.
Remove the bag of spices from the stock and then puree the vegetables in a blender or use a stick blender. Mix the vegetables, stock and thickened milk in the soup pot. Bring to a simmer and season with salt and pepper to taste.
Stir in the crab, hot milk and the sherry. Remove from heat, garnish with parsley and serve.
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