Step 1 Put the cold water in a small cup or bowl. Sprinkle the gelatin into the water and stir to blend. Let it sit until the gelatin has softened, about 5 minutes. (It can sit longer, if necessary.)
Step 2 Place the yolks in a bowl and use a whisk or fork to briskly stir and blend. Slowly add the sugar to the yolks and continue to stir until well-mixed.
Step 3Heat the milk in a saucepan over medium-high heat. Stand right by the stove and watch for a circle of tiny bubbles to form around the outside edge of the milk. The milk should be hot, but not boiling.
Step 4Pour the yolk mixture into the hot milk, add the softened gelatin and stir with a large spoon or whisk to blend well. Cook, stirring slowly but constantly, for 3 or 4 minutes, and tilt the pan to see if there is a thin coat of custard on the bottom that doesn't flow as readily as the rest of the custard. If so, reduce the heat; don't let the custard boil. It is better to remove it too soon rather than too late. Remove the pan from the heat and stir in the vanilla.
Step 5Pour the custard into a bowl and refrigerate just long enough for it to set up and be thick and slurpy, about 30 minutes.
Step 6Beat the cream only until it holds soft peaks. If it is too stiff, it will make a too-firm cream. Fold the whipped cream into the custard. Spoon it into a mold or bowl, cover with plastic wrap or a lid and refrigerate 3 hours or until time to serve.