Does anyone know how to cook, or maybe a recipe for bone Marrow?

I was watching the food network, and on Unwrapped, they were showing western foods. They showed a resteraunt by denver, Colorado, that served this delicacy. A Bone, cooked so that when open, you can eat the marrow with bread. Does anyone know how to cook the bone without opening it, so that the marrow is preserved until cooked? Thanks!