Measure out all of the ingredients for the pudding prior to starting. Place egg yolks in a separate bowl.
In a medium-size saucepan, add sugar, flour and salt, and whisk to combine.
Add the heavy whipping cream and vanilla extract, and heat the mixture on the stove top over medium-low heat. Whisk constantly to dissolve the dry ingredients into the cream mixture.
After 5 or so minutes, once the mixture is warm (but not boiling), pour about ¼ cup of the cream mixture into the egg yolks and whisk vigorously to temper.
Immediately pour the egg yolks into the saucepan and continue whisking over medium-low heat to prevent the eggs from cooking. Whisk until pudding starts to thicken. Once the mixture is thick and bubbly, remove it from the heat.
Strain pudding through a fine sieve into a medium-size bowl. This step is optional, but it will help catch any lumps of ingredients that did not get blended.
Immediately cover the top of the pudding with clear plastic wrap (directly on the surface of the pudding), and poke a few holes with a toothpick. Allow the pudding to cool for 30 minutes at room temperature, and then refrigerate for 2 hours until the pudding is cold.