Place a metal or glass bowl in the freezer. This will be for the whipped cream.
Create a double boiler with a heatproof bowl and pot. Do this by adding 2" of water to the pot and bringing to a simmer. The bowl should be big enough for the pot to hold it. Do not start heating the bowl until the next step.
cream together egg yolks and sugar with whisk in the heatproof bowl. Place over your pot of simmering water.
Continue whisking while adding the marsala a little at a time.
Whisk until the volume doubles and thickens.
Remove from heat and blend in the mascarpone.
Remove your bowl from the freezer.
Using a mixer whip the heavy cream until medium peaks.
Using a spatula, fold in cream to the mascarpone mixture. It is important not to over mix.
Place in refrigerator.
in a small pot combine coffee, chocolate, vanilla and rum. place over heat and stir until combined.
Remove from heat.
Get a 9x13 pan.
Lightly coat the ladyfingers in the coffee mixture. It is important not to dunk the ladyfingers. Just coat each side.
Line the bottom pan with one time with the ladyfingers.
Remove your cream mixture from the fridge.
Using a spatula, spread half of the cream mixture on the first layer of ladyfingers.
Coat and apply second layer of ladyfingers.
Spread the remaining mixture on top of the second layer of ladyfingers.
Using a fine strainer, sift cocoa powder on top of the tiramisu.