Line an 18cm square tin with greaseproof paper.
Put the milk, sugar and butter in a heavy-based saucepan. Heat slowly, stirring all the time, until the sugar has dissolved and the butter has melted.
Bring to the boil for 15-20 minutes, stirring all the time. When the mixture rises dramatically take it off the heat, stirring all the time until the mixture goes back down.
When the mixture reaches the soft-ball stage (115°C on a temperature probe) remove from the heat and stir in the vanilla extract. Leave to cool for 5 minutes.
Beat the mixture with a spoon for a few minutes until it starts to thicken and the gloss disappears. Pour the mixture immediately into the tin and leave to set at room temperature.
Once set, cut the fudge into small pieces and store in a sealed container.