Have all your ingredients ready before you begin. Mix sugar, cornstarch and salt in a small saucepan. Add egg yolks and mix until egg yolks are completely mixed with dry ingredients. Whisk in water until mixture is smooth.
Cook over medium low heat until just boiling. Mixture will be quite thick. Immediately remove from heat and stir in butter. Gradually whisk in lemon juice until smooth. Stir in zest.
Pour into a bowl and cover the surface of the filling with plastic wrap. Refrigerate until firm, about 1 hour.