Sprinkle the gelatin over the cold water in a small bowl and let absorb for five minutes.
Combine milk, heavy cream, and sugar in a saucepan. Heat to just to a simmer, stirring occasionally. Do not let it come to boil! Meanwhile, microwave the gelatin for about 15 seconds, or until it's melted.
Once the milk mixture has come to a simmer, remove it from the heat.
Whisk in the gelatin until fully incorporated, and the mixture is smooth.
Add Kahlua and sour cream, whisking once again till fully incorporated and smooth.
Pour into four greased ramekins or custard cups.
Chill for at least 2 hours until set.
Almost any liqueur will work with this recipe - experiment with your favorites!