Sift the powdered sugar and cocoa powder together into a large mixing bowl. Set aside.

Place the marshmallows, butter and milk in a medium-size heavy saucepan over low heat. Stir until the marshmallows are melted, 3-4 minutes. Remove the pan from the heat. Pour the powdered sugar/cocoa mixture over the marshmallow mixture. Add the vanilla and stir until the frosting is smooth and satiny. Use at once to frost top and sides of cake.
Makes about 1 1/2 cups, enough to frost the top of a tube or Bundt cake.