Divide up the phyllo pastry sheets in 2. Sprinkle 1/2 of them with 1/2 the melted butter and 1/2 the coarsely ground walnuts. Sprinkle the remaining butter and walnuts over the 2nd half of sheets.
Then wrap the 2 halves into rolls and cut them into small bites about 1 1/4″ (3 cm) thick. Put the bites in an oiled tray and bake at 356°F (180 °C).
Make a sugar syrup from the water, sugar and vanilla. Pour it over the baklava once it's cooled.