Soften gelatin in water, then dissolve over hot water. Cool slightly. Beat egg whites in large bowl of electric mixer until foamy. Continue to beat, gradually adding sugar, until stiff. Fold gelatin into egg whites along with lemon juice and peel. Place mixture in large pastry bag and pipe into individual spiral-shaped cones. Or spoon into individual pyramid molds and chill until firm, about 1 hour.
To make sauce, prepare pudding according to package directions. Thin pudding to make sauce by adding cream and sherry, blending well. Sauce should be consistency of pancake batter. Serve over Lemon Snow.
