Step 1: Combine the sugar and cornstarch in a heavy saucepan. Add milk and stir till smooth.
Step 2: Add orange peel.
Step 3: Gently heat the mixture until it starts to thicken. Stir constantly for 2 minutes.
Step 4: Beat egg yolks and slowly add 1/2 cup of the sauce. Slowly add egg mixture to the sauce. Continue to cook for a few minutes, but make sure that the sauce does not boil.
Step 5: Pour sauce into a bowl and add vanilla and Cointreau, stir gently to mix.
Step 6: Refrigerate till ready to use.
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