With a sharp knife, cut all the peel and white pith from 1 orange and carefully remove the segments. Arrange the segments in the bottom of a 1.2-litre/2pt mould.
Grate the zest from the lemon, lime and 1 orange. Put all the grated zest in a saucepan with 300ml/10fl oz water and the sugar. Heat gently until the sugar has dissolved. Remove from the heat.
Squeeze the juice from the lemon, lime and 2 oranges, and stir into the pan. Strain the liquid into a measuring jug to remove the zest. You should have about 600ml/1pt; if necessary, make up the amount with water. Sprinkle the gelatine over the mixture, and stir until dissolved.
Pour the jelly liquid over the orange segments in the bowl. Refrigerate until set before serving.