Remove the tough stems and florets from the broccoli, then steam them for about 15 minutes (10 minutes in a pressure cooker); they should be tender and no longer crunchy.
Make a béchamel sauce (see the recipe) using butter and flour, first mixed with milk, then, once it has thickened considerably, thinned with cream. Season the béchamel with salt, pepper, and nutmeg.
Add the Roquefort, cut into small cubes, and let it melt into the béchamel over low heat, stirring occasionally.
Preheat your oven to 180°C. Arrange the broccoli in a baking dish, cover with the béchamel sauce, pressing it into the broccoli with a fork, then sprinkle with grated Gruyère cheese.
Place in the oven and bake for half an hour so the ingredients have time to blend together and give this gratin its full flavor!