To make the dressing, put the egg yolks, mustard and vinegar into a bowl and whisk together. Slowly pour in the olive oil, whisking as you do so, until the mixture emulsifies. Finely chop the anchovies and mix with the garlic to form a rough paste. Add to the dressing and mix well. Stir in the Parmesan, lemon juice to taste, and a little splash of water.