Have a 1-1/2 quart chilled serving bowl ready.
Combine the coffee and 2 tablespoons of the rum in a mixing bowl, set aside.
In another mixing bowl, combine the Mascarpone, the remaining 2 tablespoons of rum, the sugar and vanilla. Whisk together until completely smooth.
Remove the medium bowl from the freezer, add the cream and whip until stiff peaks hold their shape.
Gentle fold in the Mascarpone mixture to the whipped cream.
One by one, dip the ladyfingers into the reserved coffee/rum mixture
and place on the bottom of the chilled serving bowl until it is completely
covered. Top with the cream mixture. Repeat with the remaining
dipped in coffee and cream, ending with a layer of the cream. The number of layers will depend on the size of your serving bowl.
Using a sifter or fine strainer, sieve the cocoa over the top. Refrigerate
at least 4 to 6 hours.