First, you want to drain your anchovies and put them on a cutting board with your peeled garlic cloves. Start chopping them both together and get them to a fine dice. At this point, you should add a small pinch of kosher salt and mash/chop all three ingredients until you are left with a smooth paste. This may take a few minutes. You can use the side of your knife and drag it through the paste to smash and help smooth everything out. Adding the salt will help this process. 

In a medium mixing bowl, add your egg yolks, lemon juice, mustard, and Worcestershire sauce and whisk to combine well. 

Add the anchovy and garlic mixture to the mixing bowl with your egg yolk mixture and whisk again for a minute to make sure everything is incorporated. 

The next part is the magic in the dressing-making process. This is the point where you'll be emulsifying the dressing. You want to add your vegetable oil very slowly while whisking everything together. I like to measure out my oil and add it to a clean squirt bottle. But you can use a measuring cup with a spout. At first, you will want to almost add the oil drop by drop. This will take a few minutes and you will probably be left with a sore arm, but it's worth it. Just keep slowly adding oil and whisking until you're left with a smooth, thickened dressing that is thinner than mayonnaise, but still has a slightly thick consistency. 

Add your Parmesan cheese and whisk to incorporate it in with everything else.

Pour dressing into a jar or container with a lid and store in the fridge for a week or so.