In a microwave-safe bowl, whisk together the sugar, cocoa and cornstarch. Whisk in milk a little at a time so the mixture does not have any dry lumps.
Place in the microwave, and cook for 3 minutes on high. Stir, then cook at 1 minute intervals, stirring between cooking times for 2 to 4 minutes, or until shiny and thick. Stir in vanilla.
Place a piece of plastic wrap directly on the surface of the pudding to prevent a skin from forming, and chill in the refrigerator. Serve cold.
