Using a vegetable peeler or sharp knife, remove peel from orange; set aside. Squeeze juice from orange; add water, if necessary, to equal 1/3 cup. Set aside.
For spice bag, place orange peel, cinnamon, and cloves in a double layer square of 100-percent-cotton cheesecloth. Bring up corners; tie with string.
In a large saucepan combine orange juice, spice bag, water, milk, brown sugar, cocoa powder, and coffee crystals. Bring to boiling; remove from heat. Cover and let stand for 10 minutes. Remove spice bag. Stir in rum extract. Makes 6 (6-ounce) servings.