Preheat the oven to 350°F and set an oven rack in the middle position. Line a baking sheet with parchment paper.

In a medium bowl, whisk together the Confectioners' sugar, kosher salt, cayenne pepper, and water.

Add the pecans to the sugar mixture and stir until the nuts are evenly coated.

Transfer the pecans to the prepared baking sheet and arrange in a single layer. Do your best to make sure the nuts are evenly spread out (if they are clumped together, they won't cook evenly). Scrape out every last bit of glaze from the bowl and drizzle over the nuts. Bake for 10 to 12 minutes, until the pecans are caramelized and the caramel on the baking sheet is a rich brown color but not burnt. (The nuts around the edges will darken first; watch closely so they don't burn.)

Immediately slide the parchment off of the hot baking sheet and allow the pecans to cool completely on the countertop (this stops the cooking process and prevents the nuts from burning). Once cool, remove the pecans from the parchment, breaking apart any clusters if necessary, and store in an airtight container for up to two weeks.

Note: If the nuts are sticky after cooling, that means they are a bit undercooked. Pop them back in the oven for a few minutes and let cool again.