In 1-quart microwavable bowl, place asparagus and add water. Cover with plastic wrap, folding back one edge 1/4 inch to vent steam. Microwave on High about 2 minutes or until asparagus is just tender and can be pierced with a fork; drain. Immediately rinse with cold water; drain.
On each toothpick, skewer 1 shrimp, 1 asparagus piece, 1 ham piece and 1 olive.
In small microwavable bowl, place 1 tablespoon of the oil and the garlic. Microwave uncovered on High 30 to 60 seconds or until garlic is softened. In food processor or blender, place parsley, cooked garlic in oil, pickle and remaining 3 tablespoons oil; cover and process about 1 minute or until mixture is smooth. Serve banderillas with sauce.