Heat the milk with the vanilla pod in a heavy-based saucepan over medium heat until just starting to simmer. Remove the pan from the heat and leave to infuse for 10 minutes.
Meanwhile, mix together the egg yolks, sugar and cornflour to a smooth paste in a mixing bowl or jug.
Remove the vanilla pod from the milk. (You can scrape the seeds into the milk for a stronger vanilla flavour if you like.) Pour the warm milk onto the egg mixture, stirring.
Pour back into the pan and cook gently over a low heat, stirring constantly with a wooden spoon, until thick enough to coat the back of the spoon in a thin layer. Do not allow the custard to boil, and remove from the heat as soon as it has thickened. Allow to cool, then chill, covered, before using.