In a large bowl, combine flour, sugar, and salt. In a separate bowl, dissolve yeast in warm milk. Let stand for 5 minutes.

Add melted butter and egg to the yeast mixture. Pour wet ingredients into the dry ingredients and mix until a dough forms.

Knead the dough on a lightly floured surface for 5-7 minutes, or until smooth and elastic. Place in a greased bowl, cover, and let rise for 1 hour, or until doubled in size.

Preheat oven to 375°F (190°C). Punch down the dough and roll it out into a large rectangle (about 12x15 inches).

Spread softened butter over the dough. Sprinkle with Oreo cookie crumbs, sugar, and cinnamon.

Roll up the dough tightly. Cut into 12 equal slices and place them in a greased baking dish.

Bake for 20-25 minutes, or until golden brown.

While the rolls are baking, make the icing by mixing cream cheese, powdered sugar, milk, and vanilla extract until smooth.

Once the rolls are baked, let them cool slightly before drizzling with icing. Serve warm.