Place egg in a bowl; set aside. Combine sugar and cornstarch in a saucepan. Gradually add milk to saucepan; stir with a whisk until blended. Bring to a boil over medium heat; cook 1 minute, stirring constantly. Remove from heat. Gradually stir one-fourth of hot milk mixture into egg; add to remaining milk mixture, stirring constantly. Cook over medium heat 1 minute or until thick, stirring constantly. Remove from heat; stir in vanilla. Pour mixture into a bowl; place plastic wrap on surface, and chill.