Season the shrimp with salt and pepper. Wrap each shrimp with one piece of the prosciutto and secure with a wooden pick. Coat with the olive oil. Grill the shrimp on a gas grill for 2 to 3 minutes. Turn the shrimp and grill for 3 to 4 minutes longer or until the shrimp turns pink.
Bring the cream to a boil in a sauté pan and boil until reduced by one-third. Add the pasta and cook until the cream is reduced by half. Spoon the pasta mixture onto a serving plate and top with the shrimp. Sprinkle with the cheese and parsley.