Season steak with pepper. Sear in small amount of olive oil in hottest pan possible for 1 minute every side, or till marked. Remove from skillet, brush all sides lightly with mustard and chill till needed.
In a large skillet over medium heat, combine the mushrooms, onion, sherry, butter or margarine and parsley and saute until all the liquid is absorbed and the mixture resembles a paste.
Partially thaw the puff pastry sheets and roll out pieces thin enough to cover the top, sides and bottom of each steak. Remove the steaks from the refrigerator, cover the top of each steak with the mushroom mixture and wrap each in a slice of prosciutto before wrapping in the puff pastry, enclosing carefully. Place the steaks on a baking sheet, cover with plastic wrap and store in the refrigerator until serving time.
Preheat oven to 425 degrees F (220 degrees C).
Bake steaks uncovered in the preheated oven for 15 minutes. Turn oven down to 325 and continue cooking an additional 10 minutes.