Korein Shrine Shrine Center encompasses all of that part of the Cowboy State of Wyoming south of the 43rd parallel. This includes 10 of the 22 counties and 6 of the largest cities in the state. Cheyenne, the state capital, hosts the largest outdoor rodeo, Cheyenne Frontier Days, during the last full week of July. The Shrine Center is located in Rawlins, a city of 8,400 people.