Place marshmallows on a baking sheet covered with parchment. Turn on broiler and place in oven, cooking marshmallows for about 2-3 minutes until browned and toasted. Remove from oven and cool slightly.
In a blender mix together ice cream, milk, vanilla extract and toasted marshmallows. Save one or two toasted marshmallows to top the milkshake(s). Blend well. Add more milk or ice cream if needed to adjust the thickness of the shake. Pour into glasses and top with toasted marshmallows. Serve immediately.