Prepare a baking dish with nonstick cooking spray and parchment paper.
In a pan over low heat, combine condensed milk, butter and chopped chocolate. Stirring continuously, heat mixture until it becomes very thick. Add the heavy cream and orange liqueur, and continue to stir, scraping the mixture from the bottom of the pan. Mix in the crushed cookies.
Pour into prepared baking dish and place in the fridge for 1 hour, or until firm.
Cut into small squares, then dip in the cocoa powder before serving.