In a bowl add yolks, sugar and vanilla and beat until the mixture is smooth and pale.

Heat milk and bring it to boil.

Remove from stove and add it in a drizzle over tyhe egg yolk sugar mixture while constantly whisking it.

Once all the milk gets incorporated, pour it into a glass bowl and place it over a pan of boiling water. Reduce flame and let the water boil on simmer.

Keep on whisking the milk and egg yolk mixture until it thickens to sauce like consistency and coats the back of the spoon. It may take 10 - 15 minutes.

Once done, the sauce will be slightly thin, but remove the bowl and place it over an ice bath.

Keep whisking until the custard cools.

Pour it into a jug and refrigerate for minimum two hours or let it sit overnight in fridge.

While making milk shake, mix together the whole custard and chilled milk in a blender and beat until frothy.

Serve it immediately in a tall glass.