Heat oven to 325°F. Spray large cookie sheets with Crisco® Original No-Stick Cooking Spray.
In large bowl, beat sweetened condensed milk, oil and eggs with electric mixer on low speed 30 seconds until well blended. Beat in flour, cocoa and sugar on low speed 1 to 2 minutes or until well mixed (dough will be sticky). Cover; refrigerate 1 hour for easier handling.
Roll dough into 40 (1 1/2-inch) balls. Place 3 inches apart on cookie sheets.
Bake 10 to 14 minutes or until cookies are puffed and edges are set. Cool on cookie sheets 2 minutes; remove to cooling racks. Cool completely, about 15 minutes.
Spread 1 tablespoon frosting on bottoms of 20 cookies. Top with remaining cookies, bottom side down; press lightly. Store in covered container.