You can substitute 2 tablespoons vanilla extract for the bean, but the flavor will suffer. You can find vanilla beans in your supermarket's spice section.
Pour milk into a medium saucepan. Scrape seeds from vanilla bean; add seeds and bean to milk. Cook over medium heat 6 minutes (do not boil); discard bean. Remove from heat.
Combine sugar and yolks in a bowl, stirring with a whisk until blended. Gradually add milk mixture to bowl, stirring constantly with a whisk. Return mixture to pan. Cook over medium heat 6 minutes or until mixture thinly coats the back of a spoon, stirring constantly with a whisk. Immediately pour mixture into a bowl. Cover and chill (mixture will thicken as it cools).
Note: Crème Anglaise can be stored in the refrigerator for up to 3 days.