Bring the water and salt to a boil in a Dutch oven and gradually whisk in the grits. Cook over medium-low heat for 10 minutes or until tender, stirring frequently. Stir in the cheese, prosciutto and cayenne pepper. Remove from the heat and cover to keep warm.
Melt the butter in a large skillet over medium-high heat and add the shrimp and garlic. Cook for 3 minutes or just until the shrimp turn pink, stirring frequently. Mix in the wine and lemon juice and stir the shrimp mixture and green onions into the grits mixture.