In a medium bowl, combine 2 eggs and sugar, and whisk well. In a small bowl, mix gelatin and water, and let sit for 5 minutes, while the gelatin blooms.
Heat milk until it boils. Immediately add the hot milk to the egg mixture little by little. Add bloomed gelatin and water, then let sit until the gelatin dissolves. Strain through a mesh strainer. Add vanilla extract and stir. Divide the mixture into 4 glass cups or any kind of molds. Chill in the fridge for at least 3 hours.
In a small pot, cook sugar and 1/4 cup water until browned. Remove from heat and very carefully add 2 Tbsp water. Take care not to burn yourself. Let cool to room temperature.
Pour caramel sauce over cold Purin before serving.