1. Preheat grill to 350° to 400° (medium-high) heat. Brush both sides of each watermelon quarter with olive oil, and season with desired amount of salt and pepper. Cut prosciutto into thin strips.
2. Grill watermelon quarters, without grill lid, 1 minute on each side or until grill marks appear.
3. Transfer watermelon to a serving plate; top with blue cheese, prosciutto strips, and fresh basil. Drizzle watermelon with balsamic glaze. Serve immediately.