Whip eggs, marsala in double boiler until thick (about 20-25 minutes). Set in ice bath to cool.
Whip cream and fold into mascarpone. Mix with cool egg mixture.
Fill an 8" x 8" square cake pan half way with mascarpone mixture. Dust with cocoa powder. Dip in coffee and set on top of mixture.
Spread more mixture over cookie until covered. Dust with cocoa powder.