Line a small sieve with a coffee filter. Put the yogurt in it, set it over a bowl, and refrigerate 2 hours. Discard the expressed liquid and put yogurt in a small serving bowl.
Trim the rind off the watermelon and cut the fruit into pieces a couple inches long and about 1/2-inch square. Arrange on a platter with the limes. Put the mint, curry, and cayenne, in 3 small bowls.
Squeeze lime on the watermelon. Dip melon into the yogurt, then into a little curry and as much cayenne as you like and finish with the mint. Nibble on.
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