Heat milk and sugar in a heavy saucepan. Mix cornstarch with 2 tsps. milk until smooth. When the milk is hot add the dissolved cornstarch, stirring constantly. Bring to a boil, stirring, and boil 1 minute. Take off the heat.
Beat eggyolks in a bowl and add 1 cup of the mixture, beat well and pour into the hot sauce. Put back on the heat and, stirring constantly, bring to boiling. Immediately take off the stove and pour through a sieve into a bowl. Add the vanilla and the alcohol and put it in the refrigerator.