Do not be afraid of this little bird as when it is done well, it is perfection. Be careful not to overcook or it will dry out; when the meat feels firm and the juices are clear, it is done.
2.Discard necks from quails. Wash quails under cold water; pat dry inside and out with absorbent paper. Tuck legs along body; wrap tightly with prosciutto to hold legs in place.
3.Heat butter in a large flameproof baking dish on stove top; cook quails, in batches, until browned all over. Remove from dish.
4.Add wine to same dish; bring to the boil. Reduce heat; simmer, uncovered, until wine has reduced to 1 tablespoon. Add fennel, garlic, capsicum, zucchini and stock; return to the boil. Place quails on top of vegetables; transfer dish to oven. Roast, uncovered, 20 minutes. Add lemon to dish; roast a further 10 minutes or until quails are cooked through.
5.Remove quails and garlic from dish. When cool enough to handle, squeeze garlic from skins into dish; stir in cream and oregano.