Grease and flour cake pan. Preheat oven. Mix together in large bowl the cake mix, pudding mix, eggs, oil, milk and vanilla. Beat on speed indicated on your mixer for cake mixes (usually medium) for 10-12 minutes, scraping bowl sides frequently with rubber scraper. Turn batter into prepared pan. Bake about 45 minutes or until wooden pick stuck halfway between pan and tube comes out clean. Set cake out of oven - leave oven heat on.

While cake is baking, combine sauce: Mix together five tablespoons (scant 1/3 cup) fresh orange juice, 3 tablespoons fresh lemon juice and 2 cups confectioners' sugar. Mix lightly, leave lumpy. Holding 2 toothpicks firmly together, punch holes all over cake and pour sauce into them. Return cake to oven; heat 5 minutes. Remove from oven and let cool 30 minutes before removing to serving plate.