1. Fill a medium saucepan halfway with water and bring it to a boil over medium/high heat, then reduce heat so that the water is simmering. Whisk egg yolks, milk and sugar together in a medium metal bowl, then place the bowl on top of the saucepan (you can also use a double boiler for this step). Stir the mixture often for ten minutes. After the sugar dissolves the mixture should begin to thicken and turn light yellow. Remove it from the heat to cool.
2. Use an electric mixer to combine mascarpone, cream cheese and vanilla in a large bowl. Mix until mostly creamy, but with a few small chunks remaining.
3. Add egg yolk mixture to the cheese mixture and mix just until well-combined.
4. Combine espresso and Kahlua in a small bowl. Pour this mixture onto a dinner plate. One-by-one touch the bottom of each lady finger in the espresso. The lady finger will quickly soak up the espresso/Kahlua mixture, but you don't want the entire lady finger soaked -- just a dab will do ya. The top half of each lady finger should still be dry. Arrange the soaked lady fingers side-by-side on the bottom of an 8x8-inch serving dish or baking pan.
5. Spoon about half of the cheese mixture over the lady fingers, then add another layer of soaked lady fingers on top of the cheese mixture.
6. Spoon the remaining cheese mixture over the second layer of lady fingers and spread it evenly.
7. Put two teaspoons of cocoa powder in a tight-mesh strainer and gently tap the side of the strainer to add an even dusting of cocoa powder over the top of the dessert.
8. Cover and chill for several hours. To serve, slice the dessert twice across and down creating 9 even portions (the first serving is always the hardest to get out).