Using a vegetable peeler, remove the rind from two of the oranges, making sure not to get any of the white part of the rind. Slice the rind into thin, julienne-style strips.
Peel all of the oranges and cut them into sections, discarding the membrane between each section.
In a large saucepan, combine the orange rind, orange sections, 1 cup water and 1 cup sugar. Bring to a boil.
Reduce heat and simmer for 15 minutes, stirring occasionally.
Add the remaining 2 cups of sugar and the cranberries to the pan. Simmer for 70-90 minutes, stirring occasionally, until thickened to desired consistency.
Stir in vanilla.
Ladle marmalade into hot, sterilized jars and top with sterilized lids and bands. Process in a boiling water bath for 10 minutes.
*Alternately, you can skip the processing step and the unprocessed marmalade can be store in the refrigerator for up to 3 weeks.