Put the marshmallows, butter, chocolate and water in a heavy-based saucepan. Put the saucepan on the stove, over heat, though keep it fairly gentle, to melt, stirring every now and again. Remove from the heat.
Meanwhile whip the cream with the vanilla until thick and then fold into the cooling chocolate mixture until you have a smooth, cohesive mixture. Pour or scrape into 4 or 6 glasses or small dishes and chill until you want to eat.