For the milkshake, place 500 ml milk in a small saucepan over medium heat. Meanwhile, cream egg yolks and sugar together with a whisk. Split vanilla bean in half, scrape seeds out and add the bean along with the seeds to the milk. Once it comes to the boil, pour half onto the yolk mixture, and then pour the mixture back into the saucepan, whisking constantly. Place over low heat, stirring constantly with a wooden spoon. Continue cooking until the mixture coats the back of a spoon, then strain into a bowl and cool over ice. Pour anglaise into a jug and place in the fridge for about an hour.