I've seen numerous ways to eat an Oreo cookie before. There are the "traditional" ways - take off a cookie and lick or eat the cream. Dip the cookie in a glass of milk and then eat the cookie. You can even stick a fork in the cream and then dip the cookie in milk and eat.
This video is something that I've never seen before. I haven't had the chance to see if it actually works but here's the general ideal. You take a straw, get some milk in it. Stick one end of the straw in the cream and the other in your mouth. Gently "blow" the milk into the cream and then eat. It's better explained in the video which is below.
If you have the chance to try this, please let me know if it actually works.