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 1 hour.
In a medium bowl, beat 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 and drizzle with coffee mixture.
Arrange half of the soaked ladyfingers in bottom of a 7x11 inch dish.
Spread half of the mascarpone mixture over ladyfingers, then half of the whipped cream over that. Repeat layers and sprinkle with cocoa.
Cover and refrigerate 4 to 6 hours, until set.
Suggested Handi-Foil Products:
Cook and Carry Cake Pan