Remove rind from orange, leaving half of white pith intact. Cut rind into small pieces; set aside. Section orange; remove and discard seeds. Dice pulp.
Combine orange rind and pulp in a flat-bottomed kettle. Add water; bring to a boil. Reduce heat; cover and simmer, stirring occasionally, 10 minutes or until rind is tender. Stir in remaining ingredients. Cook over medium-high heat, stirring frequently, until mixture registers 220° on a candy thermometer or until mixture sheets from a cold metal spoon. Remove from heat; skim off foam.
Quickly ladle conserve into hot sterilized jars, leaving 1/4- inch head space. Cover at once with metal lids, and screw bands tight. Process in boiling water bath 15 minutes.