Four water molecules confined in a small cavity of hen egg-white lysozyme were detected by means of the three-dimensional (3D) RISM theory, a statistical-mechanical theory of molecular solutions. This is the first theoretical realization of confined molecules in a protein without making nonsense tricks, such as placing the molecules in the space a priori. Possible impacts which the result may have on biochemistry and biophysics, including the molecular recognition, enzymatic reactions, etc., are discussed.