Bring a large pot of lightly salted water to a boil. When the water is boiling hard, add the asparagus and cook until tender but still crisp, about 4 minutes. Quickly drain the asparagus and plunge into a bowl of ice water to stop the cooking and maintain the bright green color. Drain again and pat dry with paper towels.
Separate the asparagus into 5 small bundles and wrap each one with a slice of prosciutto. Sprinkle each bundle with lemon zest and lemon juice.