Preheat oven to 170°C. Grease and line a pan with baking paper.
Beat the vanilla extract, sugar and butter in a bowl until fluffy; individually adding eggs and beating well between.
Sift half of the flour into the mixture and add half of the milk, stirring to blend. Repeat with the remaining flour and milk.
Pour the mixture into the greased pan and bake for 25 minutes. Insert a skewer and if it comes out clean, it is ready. If not, put back into the oven in 5 minute intervals, checking until the skewer comes out clean.
Once lamingtons are baked, leave to cool for 20 minutes then flip them onto a wire rack to cool further.
To make icing combine boiling water, cocoa and icing sugar until a syrup consistency is formed.
Once cooled, cut the lamingtons into squares. Place coconut and icing in separate bowls.
Cut a lamington square in half and lather it with Jam. Close the lamington and (with a fork) dip into the chocolate icing then roll in coconut. Repeat until all lamingtons are coated.