Measure the water into a small saucepan, sprinkle on the gelatine and set aside to soak for 5 minutes. Add the sugar and stir over low heat until both the sugar and gelatine have dissolved, but do not allow to boil. Draw off the heat and cool for a few minutes.
Whisk the evaporated milk until thick and light. Whisk in the coffee essence and rum, then gradually whisk in the gelatine mixture, pouring from well above the bowl so that it is added in a thin steady stream. Continue to whisk the mixture until thick and beginning to set. Pour into six individual goblets to set. Top with chopped walnuts.