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.

Cover tightly and chill in refrigerator for 1 hour.

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

Whisk mascarpone into yolk mixture until smooth.

In a small bowl, combine coffee and rum.

Split ladyfingers in half lengthwise (be careful; they may crumble a little).

Arrange half of ladyfingers in bottom of a 7" x 11" dish.

Drizzle with half of coffee/rum mixture.

Spread half of mascarpone mixture over ladyfingers, then half of whipped cream.

Repeat layers (ladyfingers, drizzle with coffee/rum, mascarpone, whipped cream).

Using a sieve, sprinkle with cocoa.

Cover tightly and refrigerate 4-6 hours until set.