In a saucepan, combine sugar, cocoa, cornstarch, and salt. Gradually whisk in milk and then the egg. Bring to a boil over medium heat; boil and stir for 2 minutes. Remove from the heat; stir in vanilla. Spoon into individual bowls and refrigerate to cool completely before serving.
In a bowl whisk together the heavy cream, powdered sugar, and vanilla until it becomes thick and stiff.
Serve the whipped cream over the pudding and top with crushed oreos.