Step 1In a large bowl, whisk together the egg yolks and sugar until combined and frothy. Whisk in the Marsala.
Step 2Set the bowl over a large pot of simmering water, making sure the bottom of the bowl does not touch the water. Continue to whisk until the mixture increases in volume and thickens to a thick, foamy cream, easily coating the back of a spoon. The consistency should be similar to that of a very thick hollandaise.
Step 3Remove from heat and gently fold the zabaglione into the whipped cream. Place the mixture in a baking dish or bowl and cover the surface with a sheet of plastic wrap. Freeze until firm, about 1 1/2 to 2 hours. This makes a generous quart of frozen zabaglione.