For the pesto, put the parmesan, garlic, pine nuts, dill, lemon zest and olive oil in a food processor and pulse to a paste. Season with freshly ground black pepper and set aside.
Preheat the oven to 190°C/gas mark 5. Lay 1 filo sheet on a baking sheet, with the longest edge facing you. Brush with some melted butter. Cover with 2 more filo sheets, brushing each with butter as you go.
Lay the fish in the centre of the filo, skinless side up. Spread with the pesto. Top with the other side of salmon, skinless side down. Brush the pastry edges with more butter.
Brush the remaining filo sheets with butter and layer as above, then place on top of the salmon, pressing the edges of the pastry together to seal. You may need to use more butter to fully seal. Trim the filo, leaving a border all around the fish, and slash the top a few times. Brush with the remaining butter.
Bake for 35 minutes. Insert a small knife into the centre to check the salmon is piping hot. Cut into 8 slices and serve with watercress and a lemon wedge.