I have eaten dozens of squirrels, and they are delicious. In Ontario the red squirrels are protected as a fur-bearing mammal that can only be taken under a trapping licence. But there is not much meat on a red squirrel anyways.
I have roasted them, stewed them, fried them, BBQed them, they are all good. My favourite is probably stew, and I simmer the carcasses in a pot of court bouillon (water, carrots, celery, onions), take them out of the pot and let them cool, then take all the meat off the bones. (yes it is a bit fiddly.... ) and then the meat goes back into the pot. Reduce the stew, thicken it, season it, and EAT it!
If you can't be bothered with all that, just clean them, give them a rinse in cold water (salted if you wish, but that is not needed), cut them into pieces like a rabbit (2 hind legs, 2 front legs, split the body down the backbone for six pieces), season the pieces, shake them or dredge them in flour, and pan-fry over medium-high heat.
I have never tried them deep-fried but I am guessing that would be good too.
GREAT meat!
Doug