Use a food processor to very finely crush the Oreo cookies. Set aside about 3/4 cup of the crumbs.
To the remaining Oreo crumbs, stir in the melted butter. Firmly press into the bottom and up the sides of a 9" pie pan. Chill.
Beat the cream with an electric mixer until stiff peaks form. (It will whip up faster if you freeze the bowl and beaters for a few minutes first.) Beat in the powdered sugar and vanilla. Chill.
In a large bowl, beat the cream cheese until smooth. Gradually beat in about a half cup of the milk until the mixture is completely smooth. Beat in the rest of the milk.
Add the dry pudding mix and beat for 1-2 minutes. Fold in the whipped cream.
Spread the filling evenly over the chocolate crumb crust. Sprinkle the reserved cookie crumbs over the top.
Cover with plastic wrap and chill for 6-8 hours, or overnight.
When ready to serve, arrange the gummy worms over the top of the pie, then cut into slices.