Prepare the cake mix per the package instructions and bake accordingly for a 13 x 9 inch sheet cake.
Immediately after removing from the oven, poke holes over the top using the handle of a wooden spoon or similar.
Use a hand mixer to whip together both boxes of instant pudding with 3 cups of cold milk. Whip until thickened but still pourable
Pour over the cake and spread. Cool completely.
In a medium mixing bowl, whip together the cream cheese, powdered sugar and vanilla until combined. Fold in the whipped topping by hand until combined.
Fold in ½ of the chopped Oreo cookies. Spread over the top of the cake.
Garnish with the remaining chopped cookies and decorate with colorful sprinkles.
Chill for 4 hours before cutting. Store refrigerated.