Wrap a prawn around a water chestnut, then wrap both in a half-rasher of bacon and secure with a toothpick. Repeat the process until all the prawns, water chestnuts and bacon have been used.
Melt 40g/1⁄2oz of the butter in a large heavy frying pan over a high heat. Add half of the prawn wraps and cook until the bacon browns. Transfer to a large dish. Repeat with the remaining butter and prawns.
Beat the cream cheese in a medium bowl until smooth. Add the mayonnaise, sour cream, horseradish sauce and lemon juice, and blend thoroughly. Spoon the sauce over the prawn wraps.
Grill under a medium heat until golden brown. Serve immediately.