Combine first 4 ingredients in a bowl; stir well with a whisk. Cook milk in a heavy saucepan over medium-high heat to 180° or until tiny bubbles form around edge (do not boil). Gradually add hot milk to egg mixture, stirring constantly with a whisk. Return milk mixture to pan; cook over medium heat until thick (3 minutes), stirring constantly. Reduce heat to low; cook 2 minutes. Remove from heat; stir in Kahlúa. Pour into a medium bowl; place bowl in a larger bowl of ice water, stirring occasionally until mixture is cool.
Coarsely chop 8 cookies; fold chopped cookies and whipped topping into pudding. Spoon about 1/2 cup cookie mixture into each of 8 small parfait glasses or (6-ounce) custard cups. Cover and chill at least 2 hours or until cold. Top each serving with a cookie.