A bain marie is a French term wihich means water bath. It is a method of cooking which aids equal distribution of heat to the item you are cooking. It is often used to melt chocolate, whisk egg and sugar for a sponge, making custard from scratch and baking items with a custard mixture like bread and butter pudding or creme caramel. Because the heat is unharsh and equally distributed it helps prevents over heating and curdling.
To make an improvised bain maire:
For baking: a deep, preferably metal, baking dish in which your dish/dishes fit into. Place in oven and then add water so that it reaches the middle of the dish / dishes you are baking.
For melting chocolate or making custard: a pyrex bowl which can fit over a saucepan of gently simmering water works perfectly.