To cook in a bain-marie or water bath means to cook food in a dish which is standing in a vessel of water. Delicate foods, such as custards or cheesecakes, are first placed in a heatproof dish. The dish is then set into a large shallow pan and enough hot or boiling water is poured into the pan to come two-thirds up the sides of the dish. During baking, the surrounding water provides a gentle heat which helps these delicate dishes cook without cracking or curdling.
A large roasting pan works well as a bain-marie, as long as it can comfortably hold the dish used in the recipe.