In a medium saucepan, bring water to a boil. Stir in the rice, reduce heat and cover. Simmer 20 minutes until water has been absorbed.
Preheat oven to 180 degrees C. Coat a medium baking dish with the olive oil.
Melt the butter in a medium saucepan over medium heat and saute the onion and garlic until tender. Stir in the cream. In a small bowl, mix the milk and cornflour and stir into the saucepan to thicken the cream mixture. Remove from heat, stir in the prawns and mushrooms and season with dill, seasoning and pepper.
Arrange cod in the prepared baking dish. Pour the cream mixture over the cod. Sprinkle with Parmesan cheese and parsley.
Cover and bake 30 minutes in the preheated oven, until sauce is bubbly and fish is easily flaked with a fork. Serve over the rice.