1In 2-quart saucepan, beat egg yolks and sugar with wire whisk until well mixed. Beat in milk. Heat to boiling over medium heat, stirring constantly; reduce heat to low. Boil and stir 1 minute; remove from heat. Pour into medium bowl; place plastic wrap directly onto surface of custard mixture. Refrigerate about 1 hour or until chilled.
2Add cheese to custard mixture. Beat with electric mixer on medium speed until smooth; set aside.
3In chilled medium bowl, beat whipping cream and vanilla with electric mixer on high speed until stiff; set aside. In small bowl, mix espresso and rum.
4Separate ladyfingers horizontally; brush with espresso mixture (do not soak). In ungreased 11x7-inch glass baking dish, arrange half of the ladyfingers in single layer. Spread half of the cheese mixture over ladyfingers; spread with half of the whipped cream. Repeat layers with remaining ladyfingers, cheese mixture and whipped cream. Sprinkle with cocoa. Refrigerate at least 4 to 6 hours to develop flavors but no longer than 24 hours. Store covered in refrigerator.