To start, chill a medium mixing bowl and your hand mixer beaters in the fridge until ready to use.
Remove the beaters and bowl from the fridge, add the cream, sugar, and vanilla, and beat on low (a stand mixer works, too). As soon as bubbles form, switch to medium speed and mix until soft peaks form (3-4 minutes).
Add mascarpone cheese and continue whipping to medium peaks. Set aside.
Dust the bottom of an 8x8-inch baking dish with cocoa powder. Set aside.
In a medium mixing bowl, mix espresso, Marsala, and rum or brandy. Set aside.
Dip each side of the ladyfingers for 1-2 seconds into the coffee and place them in the pan in a single layer. It's essential to do this step quickly or your ladyfingers will fall apart.
Repeat until you have an even layer of ladyfingers on the bottom. Cut the cookies in half or as needed to fill any spaces. Drizzle espresso mixture over ladyfingers.
Spread a layer of whipped cream with a rubber spatula.
Add another layer of ladyfingers, drizzle with more espresso mixture, and follow with whipped cream—dust with the remaining cocoa powder.
Cover with plastic wrap and refrigerate for at least 4 hours, but 24 hours is even better.
Optionally pipe whipped cream for decoration and slice or scoop to serve.