Combine the kidneys with the milk in a large glass bowl. Add enough water to cover them completely and let sit for 1 hour. Drain, discarding the milk, and halve them lengthwise. Trim any remaining fat, remove most of the membranes and cut the kidneys into l/2-inch cubes. In a large heavy skillet heat 2 tablespoons of the olive oil over high heat and saute the kidneys for 2 minutes, tossing occasionally. Add half of the salt and pepper, then remove them with a slotted spoon to a plate and cover loosely. Add the sherry to the pan and stir and scrape over the heat until it has reduced to 1/4 cup.

In a medium skillet, heat the remaining olive oil over low heat and saute the onion, stirring occasionally, for about 10 minutes or until translucent. Add the garlic and prosciutto and cook for 2 minutes more, until the garlic has released its aroma. Transfer the mixture to the pan that you cooked the kidneys in. Add the beef broth, bay leaf, parsley, and the remaining salt and pepper. Increase the heat to medium and continue to cook for 8 minutes, or until slightly thickened. Return the kidneys to the pan and cook for 2 minutes more. Discard the bay leaf and serve, accompanied by lemon wedges and fried spinach (recipe follows).