Yes, pudding rice is short grain rice similar to rissotto rice - but I have never tried substituting one for the other. There will be instructions on the packet, but basically put the rice in an ovenproof bowl, pour over hot milk infused with vanilla, add sugar, grate over some nutmeg and bake in the oven for an hour. If the oven baked skin puts you off, you can make a quicker version in a pan which is really nice - scroll down on the link for Nigel Slater's version. http://www.guardian.co.uk/lifeandstyl...
Nigel's quick version is really very good - but I made a 3 hr slow baked one last night, and it was seriously lovely! Creamy, but with just enough definition to the rice to stop it being pap... I personally would stop at sugar and nutmeg, no vanilla. And try to use whole milk not semi-skimmed... Pure comfort!
Cooked uncovered long and slow in the oven with milk, sugar & nutmeg.
I hate it! Not as much as I hate bread & butter pudding, of course, but it's pretty hateful.
Mrs H would probably eat nothing else if given half the chance. It forms a vile burnt skin which Mrs H and St Delia claim to be the best bit: