When buying asparagus, look for the smallest diameter that you can find. These tend to be more tender and flavorful. Prosciutto can usually be purchased in the deli section of your local grocery.
Prosciutto Wrapped Asparagus
Trim the ends from the asparagus. (You can snap them off or cut them if you want them to be a uniform length). The reason for this is that the ends tend to be fibrous and tougher than the upper portion.
"Blanch" the asparagus.
This can be done by immersing it in boiling water for 1 minute then placing it in a bowl of iced water to stop the cooking process. I have found that placing the asparagus in a covered microwave safe dish with 1/4 cup of water and microwaving on high for 2 minutes also works fine. Be sure to uncover the dish as soon as you remove it to let it cool quickly.
When the asparagus has cooled (takes only a few minutes) wrap each stalk in 1/2 piece of prosciutto.
Store in a tightly covered container in the refrigerator.