Melt the butter in a small glass measuring cup in the microwave.
Place the yolks, water, lemon juice and cayenne pepper in a blender. Mix on high for a few seconds until the mixture lightens in color.
Turn the speed to low and drizzle in the butter. If there are white milk solids in the measuring cup, do not add them. When all the butter has been added, salt to taste. If the mixture is too thick, add more water a few drops at a time.
To keep warm, place the blender container in a bowl of hot water. Hollandaise sauce is best if used as soon as possible after making it.