Cut the vanilla bean lengthwise and scrape out the seeds. Boil the vanilla and milk in a saucepan. Remove from the heat and let sit for about 10 minutes before pouring through a sieve.
Beat the egg yolks and sugar until creamy. Stir in the cornstarch and warm milk. Pour everything back into the pot and simmer over low heat, stirring constantly, until thick.
Divide the pudding between plates and sprinkle with powdered sugar. Let cool for about 10 minutes until lukewarm.
Serve with one dollop of cream and dusted with cocoa.