Place the Oreo cookies in a resealable bag or a bowl and crush them into small pieces using a rolling pin or the back of a spoon until finely broken but still with some chunks for texture.
Add the crushed Oreos to the blender along with the cold milk and ice cubes.
Secure the lid on the blender and blend on high speed for about 30-40 seconds, until the mixture is smooth and creamy with some bits of cookie still visible.
Stop the blender and check the consistency; if it’s too thick, add a splash more milk and blend briefly to loosen it up.
Pour the thick, icy mixture into glasses, allowing some of the cookie chunks to shine through for a textured look.
Serve immediately with a straw or spoon, enjoying the crunchy bits and creamy coldness in every sip.