1. In a small bowl, stir together the gelatin and cold water, set aside to soften. In a medium bowl, whisk together the egg yolks, sugar and salt till smooth.
2. In a medium saucepan, bring the milk to a boil, stir a small amount into the egg yolk mixture, then stir the egg yolk mixture into hot milk until blended. Whisk in the softened gelatin and vanilla. Run through a strainer, and allow to cool.
3. When mixture has cooled almost to room temperature, whip the heavy cream to medium stiffness and fold into it. Refrigerate until ready to use.