Caramel: add the sugar to the water and raise the heat until you obtain a caramel texture. Cover a round mould.
Pudding: boil the milk with the lemon peel and cinnamon stick. Separately, mix the eggs with the sugar and the Moscatel de Setúbal wine. Stir well and add the milk preparation. Pass everything through a colander. Put it in a mould and place the mould in an oven pre-heated at 180 ºC. Bake the pudding in a water-bath for one hour. Let it cool down completely and then unmould. Serve very fresh with marrons glacés.