Place a heatproof bowl over a pan of barely simmering water and place the egg yolks and sugar into it. Make sure the base of the bowl does not touch the simmering water.
Using an electric whisk, start whisking the egg yolks and sugar in the bowl over the simmering water. The mixture will become pale and thick like whipped double cream, and it should triple in volume and be very frothy. This could take up to 15 minutes but it's worth the wait.
Continue whisking and slowly pour in the Prosecco.
Pour the zabaglione into eight dessert glasses and serve immediately.