Using a sharp knife, carefully cut a lid off each orange. Scoop out the flesh, discarding any pips and thick pith. Put the shells and lids in the freezer, and chop the orange flesh, reserving the juice.
Whisk together the orange juice, flesh and vanilla ice cream until well blended. Pour into a freezer container, Cover and freeze for 24 hours, stirring occasionally.
Put 2 large scoops of the ice-cream mixture into each of the frozen orange shells, so that it is overflowing at the top. Put the lids on top, and return to the freezer for 3 hours before serving.