Preheat the oven to 180°C/160°C Fan/350°F (gas mark 4).
Line a roasting tin with baking parchment so that it comes up the sides of the tin. If you screw up the paper before putting it into the tin, it is easier to get it to stay in the right place in the tin.
Cut the plums in half and remove the stones. Depending on the size of the plums you may want to cut them into quarters now.
Measure the sugar into a small bowl.
Using a sharp knife, cut the vanilla pod in half down its length. Using the blade of the knife, scrape out the tiny black seeds from the inside the pod and add them to the sugar. Now tip the water into the vanilla sugar and use a fork (or a small whisk) to mix everything thoroughly.
Pour the sugary water over the plums and roast them in the oven for 30-45 minutes, basting the plums every now and then. You will know that the plums are ready when they are very soft to the touch and the juices have formed a wonderful syrup.