Line an 8×8 or 9×9 square pan with parchment paper.
Arrange a layer of biscuits to cover the bottom of the pan.
In a saucepan, whisk together the milk, sugar, and cornstarch until smooth.
Heat over medium, stirring constantly. When hot, slowly whisk in the egg yolks.
Continue stirring until the custard thickens, about 5 to 7 minutes.
Remove from heat, then stir in the butter and vanilla extract until fully combined.
Pour half of the custard over the biscuit layer.
Add another biscuit layer on top of the custard.
Pour the remaining custard over the second biscuit layer.
Finish with a final layer of biscuits.
Mix the powdered sugar, milk, and vanilla for the icing until smooth.
Spread the icing evenly over the top biscuit layer.
Chill the slice in the fridge for at least 4 hours; overnight chilling works best.
Slice into squares and serve chilled.