Place the piloncillo (or brown sugar) into a large, heavy pot. Pour the water on top. Incorporate the cinnamon, orange juice, and orange rind. Place over medium heat and let it come to a simmer, stirring occasionally until the piloncillo has fully dissolved, making a loose syrup. It will take anywhere from 10 to 15 minutes.
While the piloncillo is dissolving, rinse the pumpkin clean of any dirt. Cut the pumpkin into large chunks of about 3"x3". Some cooks remove the strings and seeds, some don't, I leave them on. Using a knife, score the skin of the pumpkin chunks, to help the pumpkin absorb the syrup.
Once the piloncillo is dissolved into the water, remove the pot from the heat and begin adding the pumpkin pieces. Arrange the pieces of the pumpkin in the pot, with the first layer skin side down and the second layer skin side up.
Cover the pot and place it over medium to medium-low heat, for about one and a half hours. Uncover and continue cooking the pumpkin until the it has turned into a rich brown color and has become well soaked in syrup, for about another half hour. Turn off the heat and let the pumpkin cool and finish absorbing all the syrup it can as the rest of the syrup thickens. You may it it warm or let it cool and refrigerate. It will keep in the refrigerator, covered, for months.