Preheat the broiler and make sure one rack is about 8 in. below the element. Trim off and discard the thick, tough bottom portion of the spears, then place them on a large, foil-lined baking sheet. Drizzle with oil then toss asparagus well to coat and spread out in a single layer. Sprinkle with salt. Broil 4 to 7 min, shaking the pan once to move the spears around a bit, or until asparagus is lightly browned and just barely tender. Zest the lemon right over top and season with fresh black pepper. Let cool a few minutes then wrap each spear with a slice of prosciutto. Serve warm.