Place the cold water in a bowl. Sprinkle the gelatin over the water, and let sit until the gelatin blooms, about 10 minutes.
Stir the hot coffee into the gelatin mixture, and stir until the gelatin is completely dissolved. Add the sweetened condensed milk.
Pour the coffee mixture into a glass pan (8x8 or 9x13 or 9x9). The thickness of squares depends on the size of the pan (a smaller pan will give you thicker pieces).
Refrigerate until set, at least 2 hours or overnight. Once set, cut into small bite sized pieces. Enjoy!