Roll out the puff pastry and lightly roll to even out the pastry, then cut the sheet in two equal parts, place on prepared cookie sheet and prick very well all four sheets. Brush with milk and sprinkle with icing sugar. Bake for approximately 15 minutes or until golden. Remove from the oven and let cool completely. (if pastry is very puffy lightly flatten with a clean towel)
While puff pastry is cooling, in a large bowl beat together until very thick the mascarpone, cream and sugar (I always add a pasteurized egg as per the Italian way but you can leave it out if you want).
PUTTING IT TOGETHER
On a large square plate or board place one puff pastry square, add one third of the cream, top with a layer of coffee dipped Lady Fingers (place coffee in a large bowl and dip lady fingers one at a time).
Top with another third of the cream on top place remaining puff pastry square and remaining cream. Refrigerate for at least 2-3 hours or even over night. Sprinkle with cocoa before serving. Enjoy!