In a medium saucepan over medium heat, whisk milk and sugar constantly.
In a medium bowl, whisk together the egg yolks. Slowly incorporate the hot milk into the egg mixture. Return the mixture to the saucepan. Heat the custard over low heat about 5 minutes or until thickened slightly, stirring constantly. (It should be thick enough to coat the back of a spoon. Do not let the mixture come to a simmer or the eggs will curdle.)
Remove from heat and melt the butter into custard. Add vanilla. Immediately strain the custard into a small bowl. Place in refrigerator to cool.