Soak gelatin in cool boiled water for 40 minutes, strain the excess water. Add sugar to milk, bring to boil, cool slightly, add soaked gelatin and heat through until the gelatin melts. Add vanillin.
Prepare fruit jellies, following the instructions on the packages. Keep the prepared jellies in warm place (about 100F) until using them.
Pour the orange jelly in the mold in 1/3 inch layer, cool. Then pour the milk jelly over the set layer, cool. Then proceed doing this operation with the remaining jellies, cooling each portion until set.
Unmold the composition by plunging the mold in hot water for several seconds, transfer on a plate. Serve on the plate or in a ramekin.