Prohormones are actually hormones themselves and are chemicals produced by the body (or close "chemical cousins" of such chemicals, as is the case with the nor- varieties). The "pro-" part is used for two reasons: first, because rather than themselves being the hormone one is actually interested in supplementing, they are instead used by the body's biochemical pathways to produce the hormone of interest; second, marketing.

see the FAQ: Supplements:Prohormones