Alfajores are sandwich cookies that are extremely popular throughout South America. The term actually covers a range of cookies made with a variety of fillings. The best-known version are alfajores de dulce de leche, which are gaining popularity in North America and it's easy to see why: two barely sweet melt-in-your-mouth shortbread cookies with creamy spread sandwiched between them.
Dulce de leche is a luscious topping made by slowly caramelizing sweetened milk. Many people make it by boiling a can of condensed milk unopened in a pot of simmering water for two to three hours. Although that method is popular, it holds the unpleasant possibility of the can exploding if the water level drops. Personally, I try to avoid kitchen explosions at all costs, so my preferred method is baking it in a pan placed in a water bath in the oven. It's almost like magic: Pale, thin condensed milk goes into the oven, thick and golden dulce de leche comes out.