1Heat oven to 350°F. In large bowl, stir cake mix, rainbow candy sprinkles, butter, milk and egg until soft batter forms. Scoop 20 tablespoonfuls of batter onto ungreased large cookie sheet.
2Bake 8 to 10 minutes or just until cookies are set. Remove from cookie sheet; cool completely.
3Spread frosting on bottom of 1 cookie; top with second cookie, bottom side down.
4Roll edges of frosting in confetti candy sprinkles. If desired, top each with a birthday candle.