Preheat the oven to 350 degrees F. Spray a donut pan or two with cooking spray and set them aside.
In a medium-sized bowl, add the cake mix, egg, vegetable oil, and water. Mix until combined.
Using a piping bag, or spoon, fill the donut pan(s) up about 1/2-3/4 of the way.
In a small bowl, combine the powdered sugar a bit of the milk, and the vanilla extract. (see notes)
Spoon the glaze liberally over the tops of the donuts. Add as many chopped Oreos and sprinkles as your heart desires.
Notes: Find that your glaze is too thin? Add some more powdered sugar. Too thick? More milk. Keep going until you hit on a consistency that you're happy with.