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You can substitute red or white wine vinegar for the sherry vinegar. For consistent slices, seek out packaged, presliced prosciutto.
FOR THE SAUCE: Combine all ingredients in small bowl and season with salt and pepper to taste. (Sauce can be refrigerated for up to 3 days; bring to room temperature before serving.)
FOR THE SALMON: Adjust oven rack to upper-middle position and heat oven to 450 degrees. Pat salmon dry with paper towels and sprinkle with salt and pepper. Wrap each fillet crosswise with 2 overlapping pieces of prosciutto. (Prosciutto may not fully envelop salmon.)
Heat oil in 12-inch ovensafe nonstick skillet over medium-high heat until just smoking. Place fillets in skillet and cook until prosciutto is lightly browned on first side, about 2 minutes. Using tongs, gently flip fillets and cook until prosciutto is lightly browned on second side, about 2 minutes.
Transfer skillet to oven and roast until salmon registers 125 degrees (for medium-rare), about 5 minutes. Using potholders, remove skillet from oven. Transfer salmon to serving platter. Spoon sauce over top and serve.
That's a Wrap!