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. Don't walk away or you may end up with scrambled eggs. Boil gently for 1 minute, remove from heat and allow to cool slightly.
Cover tightly and chill in the refrigerator for 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. Once they get wet it is hard to move them, so if you want to place them in their spot and then drizzle it will work out better for you.
Arrange half of soaked ladyfingers in bottom of 10x10" (don't worry about the size, use what you have) dish.
Spread half of mascarpone mixture over ladyfingers
then half of whipped cream over that
Repeat layers and sprinkle with cocoa.
Cover and refrigerate 4-6 hours, until set