Place 1 prosciutto slice on work surface, short end parallel to edge. Place 1 basil leaf at 1 short end of prosciutto slice. Place 1 shrimp atop basil leaf. Roll up shrimp in prosciutto. Thread shrimp on skewer. Repeat with remaining prosciutto, basil, shrimp and skewers. (Can be prepared 1 day ahead. Wrap tightly in plastic and refrigerate).
Prepare barbecue (medium-high heat) or preheat broiler. Combine vinegar, mustard, and garlic in blender. Gradually add oil; blend well. Transfer to small bowl. Season sauce with salt and pepper.
Grill wrapped shrimp until opaque in center, turning frequently, about 6 minutes. Transfer to platter. Serve hot or at room temperature with sauce.