In a pan, combine the butter and one can of condensed milk over medium heat, constantly stirring. When the butter has melted, add the grated coconut and stir until the mixture no longer sticks to the pan. Add the heavy cream and continue to stir, removing from heat once the mixture no longer sticks to the bottom of the pan. Set aside to cool.
In a bowl, mix the powdered milk and cocoa powder, and gradually add the remaining condensed milk until a dough is obtained. On a surface covered with plastic wrap, roll out the dough with a rolling pin until it is 1/4 inch thick. Cover the dough with the coconut filling, and trim the excess dough from the base. Roll up dough like a Swiss roll, and trim the edges once more. Cover with plastic wrap and place in the refrigerator for 2 hours. Cut into slices and serve.