Preheat oven to 375 degrees F. Spray 2 sheets with nonstick spray or put down silicone baking mats.
In a large mixing bowl add cake mix, cocoa powder, melted butter, eggs and vanilla extract. Mix with a spoon until a cookie dough forms.
Form dough into around 1 1/2 tablespoon sized balls and place on baking sheets, leaving about 2 inches in between each cookie.
Bake for 10-12 minutes, or until cookies are set.
Remove from oven and allow cookies to cool before frosting them.
To make the frosting: Mix powdered sugar and milk together in a bowl with a spoon. Once cookies are cool, dip each one into the glaze. Sprinkle additional powdered sugar and sprinkles on top for decoration.