Firstly, put a pan of milk on to the heat. Bring to a simmer, not a boil, and while it's heating, put a tablespoon of chocolate powder into each mug. Add a little warmish milk from the pan to each mug, you just need enough to dissolve the chocolate powder.
At this point, plonk a few marshmallows into each mug. When the milk is at a simmer, carefully pour it into a plastic jug or flask. I normally do this over a sink as I always end up spilling a bit (the trick is to have a big enough jug or flask so the milk only half fills it: you need the extra space for shaking and frothing).
Screw the lid on tightly, place a cloth over the lid for safety, and shake hard for a minute. Remove the lid, minding the steam, and pour into your mugs. A little stir and you can slurp your way to heaven!