Combine the coffee with water and brandy and set aside to cool. Cut the cookies in smaller pieces.
Separate the egg yolks from the whites. Mix egg yolks with sugar until thick, creamy and pale yellow colored. Add Mascarpone cheese and vanilla extract and blend well.
Whip egg whites until foamy with a mixer, and gently fold them to the Mascarpone mixture.
Line a 1.5 liter-capacity loaf tin with plastic wrap. Toss the broken cookies in the coffee mixture. (Be careful not to soak the cookies too much otherwise they will get too hard on the freezer, only the edges need to be soaked ). Pour 1/3 of the mixture into the tin and add half of the cookies. Put another 1/3 of the cream mixture over the cookies, add the rest of the cookies and finish with the last 1/3 of the cream. Cover and put it in the freezer.
When ready to serve invert onto a plate, remove the plastic wrap, sift cocoa powder over the top and cut into slices.