With the metal blade fitted into a food processor, or blender, process garlic cloves until finely chopped. Add the anchovy filets and egg and continue processing for 30 seconds. Add the balsamic vinegar, lemon juice, Worcestershire sauce, Dijon mustard and parmesan cheese, mixing until well blended. With the machine running, pour the olive oil slowly into the processor in a steady stream. Dressing should become thick and creamy. Season with salt and pepper and add more parmesan cheese, if desired.
This recipe will make more than you need, but can be stored in a sealed jar in the refrigerator for a week.