Prepare a baking dish with nonstick cooking spray and parchment paper.
Combine condensed milk and Nutella in a pan over low heat. Stirring continuously, heat mixture until it becomes very thick. Add the heavy cream 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 them in powdered sugar before serving.