For the crêpe batter:
Heat a small frying pan and once hot, add the butter and melt over a high heat. Pour the melted butter into a mixing bowl, add the eggs, flour and a pinch of salt and whisk together to combine. Slowly add the milk, whisking constantly to make a smooth batter. To cook the crêpes, heat a small frying pan over a medium heat. Add the vegetable oil and tilt the pan so it leaves a thin film over the base, then pour off the excess oil into a cup. Pour in just enough batter to coat the base of the pan thinly. Cook for 30–40 seconds, until golden brown underneath, then turn or toss and cook the second side for a further 30 seconds, until golden. Transfer the crêpe to a warm plate and keep hot. Repeat with the remaining batter (greasing the pan with the excess oil, if necessary), stacking the cooked crêpes on top of each other with greaseproof paper in between.
For the sauce:
Heat the butter and sugar in a deep frying pan over a low heat, stirring occasionally, until the sugar begins to dissolve; turn up the heat and bubble quite fast, until the mixture just starts to go brown and caramelise, stirring only towards the end. Pour in the orange juice; let the mixture bubble for 3-4 minutes to thicken slightly. Lay a crêpe in the gently bubbling sauce in the pan, fold in half, then fold in half again to make a triangular shape. Repeat for all the crêpes, arranging them neatly to fit in the pan. Add the Grand Marnier and set light to the pan to flambe them. Divide the crêpes between 4 serving plates, overlapping them on each plate. To finish, divide the orange segments between the plates, then spoon some sauce over each portion.