In a large microwave safe bowl, combine the sugar, cocoa powder, and corn starch. Whisk to combine and remove any lumps. Whisk in the milk until everything is evenly mixed.
Microwave the mixture on high for three minutes. Remove the bowl and give it a good stir. Microwave for one minute more, then whisk again. Continue to microwave and stir at one minute intervals until the pudding has thickened (about 3 cycles of cooking/stirring).
Stir in the vanilla extract. Either serve warm or refrigerate until chilled. Press plastic wrap over the surface of the pudding before refrigerating to prevent the formation of a thick skin.