Most creme brulees require baking, however after a little research I did find a recipe in "On Cooking" (Sarah Labensky/Michael Hause) that came from Chef Vincent Guerithault of Vincent on Camelback in Phoenix, AZ and his was similar in that it was not baked.
First, just making creme anglaise with heavy cream isn't going to do anything to let it set up into a firm custard. More egg yolks or starch would be needed.
Supposing that this really does work and it was something you perhaps did, my guess would be that it was either mixed too much (breaking down the proteins trying to link together) or too vigorously (incorporating air which weakened the protein links). In your description you say you "beat it". Did you beat it or stir it? It should be stirred back and forth zig-zagging across the bottom of the pan with a wooden spoon or heat-safe rubber spatula to keep from whipping air into it.
Time, temperature, and eggs/dairy ratio are going to be the main issues in getting custards to set.
Egg proteins begin to set at 160 degrees but curdle at 180 so there's very little "wiggle" room temperature wise.
According to Shirley Corriher's "Cookwise": 2 egg yolks will just barely thicken 1 cup of milk or cream. Her Creme Anglaise recipe uses 5 egg yolks to 1 cup of milk and 1/2 cup heavy cream which is more yolks and less liquid than Julia's and this isn't intended to set up. 1 teaspoon of starch isn't going to provide the thickening power that is needed, it's there to keep the yolks from curdling as easily.
The recipe I use and many others I've referenced (including Chef Vincent's), use a ratio of about 6-7 yolks per cup of cream.
Also, if using a starch, you need to nearly bring the custard mixture to a boil (as is common in puddings and cream pie fillings) otherwise an enzyme in egg yolks known as alpha-amylase will eat away at the starch bonds and break them down into a watery mess.
Chef Vincent's does not use any starch.
If you want to use that recipe, I would increase it to 10 egg yolks. After the hot cream is tempered into the egg yolks then return to the heat and cook, stirring constantly, until very thick but do not let it boil. Remove it from the heat and strain into a clean metal bowl and chill over an ice bath to cool quickly. Once cool, spoon into your desired serving dish or a cookie cup and caramelize the top with sugar.
For a substance to burn, it must first reach its ignition point. For it to keep burning, it must reach its fire point. The ignition point of a 40% ABV liquid such as brandy is 26ºC/79ºF, and the fire point is approximately 10ºC higher than that.
What this means in practical terms is that you need to heat the alcohol a little first before you add it to the ice cream. The simplest way to do this is to put the alcohol in a ladle and heat it over the hob - it won't need much as 36ºC is not a great deal over room temperature. Then light it carefully with a long match, and pour it around your ice cream - if you've got it warm enough it should keep burning until the alcohol is consumed.
Best Answer
The final word!
After a few hours of experimenting today, this is what I discovered:
No "standard" alcohol burns hot enough to caramelize the sugar using a reasonable small amount (i.e. less than 1 tbsp).
Since there's an open flame, it will probably eventually caramelize the sugar, but the amount of alcohol required to burn that long makes the straightforward flambé method totally impractical for individual Crème Brûlées (the way that they're supposed to be served). Testing with vanilla pudding as per Michael's suggestion using a very thin layer of sugar on top, even if you drown the entire ramekin in 80-proof alcohol, the sugar will simply dissolve before it caramelizes.
roux came up with a very good suggestion in a comment - caramelize the sugar separately and let it harden, then grind it into a powder and flambé that. The only slight problem with this is that it grinds into the consistency of dust almost instantly, and as soon as you pour any alcohol over it, it will dissolve.
So here's how I actually (successfully) did it:
Caramelize the sugar about an hour in advance. Pour off and let it harden. Roux recommended using a silpat but it's perfectly possible to just dump it into a heatproof container. If using a container, then as soon as it hardens, crack it with a knife in 2 or 3 places and let it sit for another 10-15 minutes; the cracks will spread and eventually it will "shatter" into large chunks which are easily removed.
Grind the hardened sugar using a spice grinder. As stated above, it will take on the consistency of confectioner's sugar (beware, it is very dusty, you might want to turn the range fan on while you scoop it out of the spice grinder). Place it in a separate (preferably wide) container.
Over time the ground sugar will actually start to crystallize again, which is why I wrote above to do this about an hour in advance. You're aiming for a consistency that is sticky and somewhat hard but still easy to shape with your hands.
Spread a thin layer of the semi-hard sugar on each Crème Brûlée - not too thin, though, you don't want this to dissolve instantly, so aim for at least a few (2-3) mm. It should be pretty easy to "mold" the sugar into shape.
Heat some cognac or other strong alcohol in a separate saucepan. The amount depends on how many Crème Brûlées you're preparing, but you won't need more than a tablespoon per brûlée. You need to get the alcohol hot if you want it to really burn when lit, but don't let it boil, otherwise it won't ignite. This is standard flambé stuff but I'm putting it here for reference. Personally, I let it heat up until I see a little bit of steam (but before any simmering).
Don't pour the hot alcohol into the Crème Brûlées yet. Instead, take the saucepan off the heat and light the alcohol by itself inside the saucepan. You should probably do this using a barbecue lighter, although I had no trouble using a butane torch. Don't worry, it won't erupt in a massive fireball, but the saucepan will heat up very quickly so you might want to hold it with an oven mitt.
Pour a small amount of the flaming alcohol into each Crème Brûlée, and work quickly otherwise all the alcohol will burn off. It will melt the already-caramelized sugar very quickly.
Allow all of the remaining alcohol to burn off until the flames disappear, then let it cool for at least 5 minutes. Once the sugar begins to harden again, it will form a perfect crust!