Step 1

In a medium saucepan, whisk together egg yolks and sugar until well blended. Whisk in milk and cook over medium heat, stirring constantly, until mixture boils. Boil gently for 1 minute, remove from heat and allow to cool slightly. Mixture will appear slightly curdled - this is totally okay. Cover with plastic wrap and chill in the refrigerator for 1 hour.

Step 2

Once the egg yolk mixture has chilled, prepare the whipped cream.

Step 3

In a medium bowl, beat cream with vanilla until stiff peaks form. Set aside.

Step 4

Whisk or beat together the chilled egg yolk mixture with the mascarpone until smooth. Set aside.

Step 5

In a medium bowl, combine coffee and Kahlua. Roll each ladyfinger in the coffee mixture once or twice. Take care not to oversaturate the ladyfingers.

Step 6

Arrange half of soaked ladyfingers in the bottom of a 7x11 inch dish. Spread half of mascarpone mixture over ladyfingers, then half of whipped cream over that. Repeat layers and lightly dust with cocoa. Cover and refrigerate for at least 6 hours, but preferably overnight.