A water bath is simply a pan of hot water in which you bake something like a custard or a cheesecake. The water insulates the dish from the direct heat of the oven and provides moisture circulation so your custard doesn't dry out. I like to start with a roasting pan and line it with paper towels. Then, I place the ramekins or other pan inside the roasting pan and (carefully!) fill halfway up with hot water. The paper towels prevent the ramekins from sliding, and filling up halfway means there's enough water so that it won't evaporate before the dish is done cooking.