For the cookies:
Pre heat over to 375 degrees.
In a large bowl combine the cake mix, eggs, oil and vanilla extract.
In a smaller bowl place the powdered sugar and taking about 1 Tbls sized dollops of the cake mixture (this is very gooey and can get messy), gently roll around in the powdered sugar with butter knife and scooping out the dough ball, place on an ungreased cookie sheet. Place dough balls about 2-3 inches apart.
Bake for 7-9 minutes. Let cool still on the cookie sheet on a wire rack for about 5 minutes, then transfer the cookies directly on the wire rack.
Let cookies cool thoroughly, they can be made in advance and stored over night until ready to frost.
For the frosting:
Cream the cream cheese and butter together.
Add the vanilla, add the powdered sugar in 1/2 Cup at a time until fully incorporated.
Taking one cookie, smear about 1 Tbls of frosting on the flat side, frosting to the edge. Gently place another cookie on top, squeezing slightly to they stick together. Be very careful because the cookies are very delicate and can easily get squished.
Place sprinkles in a bowl and roll the edges of the cookie sandwiches in them.
Serve and enjoy!
Keep stored in an air tight container in the fridge.