In a mixing bowl, beat the heavy cream until soft peaks form.
In another bowl, mix the mascarpone cheese, powdered sugar, and vanilla extract until smooth.
Gently fold the whipped cream into the mascarpone mixture until well combined and creamy.
Pour the espresso (or coffee) into a shallow dish. Quickly dip each Oreo cookie into the espresso, making sure not to soak them for too long, or they will become too soft. (I do this while I assemble. So, the second layer only gets dipped while I'm putting the whole thing together).
In a rectangular or square dish (8x8-inch works well), arrange a layer of coffee-soaked Oreos at the bottom.
Spread half of the mascarpone cream mixture over the Oreos.
Add another layer of espresso-soaked Oreos on top of the cream layer.
Spread the remaining mascarpone cream mixture over the second layer of Oreos.
Dust the top of the tiramisu with cocoa powder
Chill in the fridge at least 4 hours or, preferably, overnight before serving.