The yolks need to be cooked on a very gentle heat. To do that, I put a small glass saucepan on top of the steamer with water actively boiling. Don't put the saucepan in the boiling water as the heat will make the yolks cook hard.
Still the yolks untill the mixture starts to thiken. Slowely add the water, mixing the mixture. Make sure it is the consistency you would like to sauce to be.
Remove from the heat. Add lemon juice (make sure that it is not cold), butter and salt and pepper.
Add more butter (double the amount) to achieve a more authentic French taste, but I prefer to have it slightly less rich.