Scrape seeds from vanilla bean. Combine vanilla seeds, vanilla bean, and milk in a large, heavy saucepan. Bring milk mixture to a boil; reduce heat, and simmer, uncovered, 20 minutes, stirring occasionally.
Combine sugar and cornstarch in a bowl. Gradually add water, stirring until smooth; add to milk mixture. Remove and discard vanilla bean.
Gradually stir 1/4 of hot milk mixture into egg yolk; add to remaining hot mixture, stirring constantly with a wire whisk. Cook over medium-low heat 20 minutes or until mixture is thickened, stirring frequently. Remove mixture from heat, and stir in margarine.