Line a 9x9-inch pan with parchment or wax paper, leaving some paper hanging over the sides.
Pour ⅓ cup of the milk into a shallow bowl and dip each Oreo cookie before arranging them on the bottom of the prepared pan to create a base for the dessert.
In a large bowl with a handheld electric mixer, beat the softened cream cheese and powdered sugar. In another bowl, whisk the whipping cream, remaining ½ cup of milk, and vanilla pudding mix to combine. Add to the cream cheese mixture and beat, starting on low and increasing to high speed until the mixture is thick and whipped. Gently fold in the sprinkles before spreading on top of the Oreo base in the pan.
Freeze for at least 4 hours. Remove from the freezer for about 15 minutes before slicing to serve. Serve with whipped cream and an extra sprinkle of cookie crumbs and sprinkles, if desired. Enjoy!