In large heavy saucepan, melt butter over medium-low heat; stir in cocoa until blended. Whisk a small amount of hot mixture into egg yolk; return all to the pan, whisking constantly. Cook, stirring constantly, until mixture thickens and a thermometer reads 160°, 2-3 minutes. Remove from heat. Stir in cracker crumbs, confectioners' sugar and vanilla. Press into a greased 13x9-in. pan.
For filling, in a large bowl, combine butter and Kahlua. Stir in confectioners' sugar. Spread over crust. Refrigerate until set.
For glaze, in a microwave, melt butter and chocolate; stir until smooth. Spread over filling. Refrigerate until set. Cut into bars.