Nesselrode isn't a what - it's a who, a man and number of recipes named for him.
Count Nesselrode was a prominent Russian diplomat in the middle of the 1800s. As a patron of the culinary arts, he had a number of dishes named in his honor, but the most enduring - and the one people mean when they refer to Nesselrode - is a chestnut pudding. The pudding mixes a chestnut puree and a sweet custard (lightened with beaten egg whites or whipped cream), that is poured into a mold, decorated with glacéed fruits, steamed, and served with a fruit syrup or maraschino liqueur.
Here's one version (you do have to have a bit of chestnut purée hanging around, by the way):
Nesselrode Pudding From The Penguin Book of Food and Drink, edited by Paul Levy. Recipe from Jane Grigson.
iced pudding flavoured with chestnuts and dried fruit was invented by Monsieur Mony, chef for many years to the Russian diplomat, Count Nesselrode, in Paris. He passed the recipe on to Jules Goufflé who published it in his Livre de Cuisine of 1867. Glacé fruit and peel were a further embellishment to the Nesselrode by the time Proust was old enough to notice such things.
1 Tbsp sugar 60 g (2 oz) mixed currants and raisins 40 g (2 oz) mixed glacé fruits, angelica, candied orange peel Maraschino liqueur (or Madeira, Marsala, etc.) 300 ml (10 fl oz) single cream (half & half) vanilla pod 4 large egg yolks 125 g (4 oz) sweetened chestnut purée, or unsweetened with vanilla sugar to taste 300 ml (10 fl oz) double (heavy whipping) cream
Bring the sugar to the boil with 3 Tbsp of hot water and simmer the dried fruit in this syrup for a minute. Remove from the heat and leave to cool. Put in a basin with the chopped glacé fruits etc., and add enough Maraschino to cover. Leave several hours or overnight.
Bring single cream to the boil slowly with the vanilla pod, and pour on to the beaten egg yolks, whisking. Return to the pan and cook slowly, without allowing the custard to boil, until it thickens. Cool slightly, then strain on to the fruits and add the chestnut purée (it will mix more easily if the custard is still tepid). Whip the double cream, fold into the chestnut mixture, pour into a mold, and freeze at the lowest possible temperature.
Turn out and decorate with the marrons glacés and whipped cream, if you like: Monsieur Mony served a cream and egg custard, chilled and flavoured with Maraschino, but the habit of serving a custard sauce with ices is not popular any more.