Prosciutto means ‘ham’ in Italian and is a term particularly used to describe ham that has been seasoned, cured and air-dried. ‘Prosciutto cotto’ is cooked and ‘Prosciutto crudo’ is raw although, because it has been salt-cured, it is ready to eat.
Prosciutto is sold in most UK supermarkets pre-sliced and vacuum-packed. If you buy it from a deli it is more likely they will have a whole leg of prosciutto from which they will cut fresh slices, whatever thickness you need.
It is most famously eaten as a starter with melon or figs or with a selection of other cold hams, meats and cheeses. It can be used in cooked dishes, but only add it at the end of cooking - otherwise it will go tough.