In a large saucepan, bring the milk to boil and then turn off the heat.In a large bowl, whisk together the eggs and the sugar, then slowly pour in the hot milk while whisking constantly. (It's really important to add the milk very slowly! And keep stirring! Otherwise the egg will cook into scrambled eggs and you really don't want that.) Return the hot egg/milk mixture to the saucepan and cook over low heat for approx 6-8 mins until the mixture coats the back of a wooden spoon. (Be careful not to overcook! Otherwise you run the risk of scrambled eggs again!)Pour the eggnog base through a cheesecloth or other fine-mesh sieve and back into the bowl. Stir in the cream, Grand Marnier, bourbon, and vanilla.Pour eggnog into a glass pitcher and cover with plastic wrap. Chill until cold.To serve, pour over ice and sprinkle with nutmeg.