In small saucepan whisk the cornstarch and cold milk together.
Once mixed, turn heat on to medium.
Add sugar and whisk together.
Stir milk mixture until heated.
In a small bowl, beat the egg until frothy.
Add a little bit of the hot milk to the egg and stir.
Slowly add more and more of the hot milk to allow egg to slowly heat up.
If you add the egg to the hot milk all at once, you will have scrambled eggs in your custard.
Add the warmed egg mixture to the saucepan and whisk.
Stir with wooden spoon until pudding starts to thicken.
Remove from heat and add the butter and vanilla.
Stir.
Custard sauce can be stored in a jar in the fridge for a week.