Heat a saucepan and add the milk, olive oil, cornflour and mustard. Stir well constantly until thick then add a handful of cheese, mix well then add another handful. Cook over low heat until thick. Season with salt and pepper.
Preheat a grill. Meanwhile, butter the bread and make 2 ham sandwiches. Heat a small amount of olive oil in a fry pan. Dip one side of the sandwich in oil then place under a grill on a tray oil side up. Grill until browned. Turn and lightly grill the other side.
Paste the cheese mixture on this side and spread right out to the edges of the bread. Place back under the grill until bubbling. Top each sandwich with a couple of cornichons and serve. Delicious.