Whip cream until it thickens. Add sugar and vanilla and continue to whip until soft peaks form. Cover and refrigerate.
Preheat oven to 425°F. In a large pot, bring milk, butter, water and salt to a rolling boil. Stir in flour until the mixture forms a ball. Transfer the dough to a large mixing bowl. Using a wooden spoon or stand mixer (with paddle attachment), beat the mixture for 3-5 minutes to cool it slightly. Then beat in the eggs one at a time, mixing well after each addition. Using a piping bag with a large round tip, pipe little mounds about 3/4"-1" around on a parchment-lined sheet pan. Space them about 1 1/2" apart. Bake for 20-25 minutes until golden brown. They should sound hollow when tapped. When the shells are cool, use a pastry bag to inject the whipped cream into the shells.

Caramel:
Boil sugar and water until it becomes a nice golden colour and starts to dar-ken slightly. Remove from heat right away and begin your pyramid. Dip the bottoms of the puffs in the caramel, using the caramel as a “glue” to stick them together. Build it as high as you want. When it is done, use a fork to string the remaining caramel around the croquembouche so that it almost looks like straw encasing the pyramid.
Note: if your caramel becomes too thick to work with, heat it slightly on the stove to make it more liquid.