Put the milk, double cream and sugar in a pan; bring to the boil.
Place the gelatin in cold water to soften it.
Place 1 oz of bitter orange marmalade on the bottom of each glass (glass size: 1 cup).
After the mixture has boiled remove from the heat, squeeze the gelatin and add to the mixture.
Add the Grand Marnier.
Pour into a jug and allow the mixture to cool down without letting it harden.
At this point pour 2/3 cup of mixture into each glass.
Put the glasses in the fridge to set.
Before serving pour an espresso on each dessert.