Caramelize the sugar in a pan with the water until it turns a caramel color. Pour it into the bottom of a form or individual forms, then leave to cool.
Bring the milk to boil in a pot.
In the meantime, whip the eggs with the sugar in a bowl. Add the cocoa, crumbled walnuts and rum, then the hot milk. Stir and pour it into the forms containing the caramel. Bake in a water bath at 302°F (150 °C) about 45 min.
It's going to form a cream, leave it for at least 2 hours in the fridge, as it is in the forms. Then take it out of the forms. If it's in a single large form, cut it into pieces.
This is a recipe for lovers of chocolate delights. It literally melts in the mouth.