Place an unopened can of sweetened condensed milk in a large saucepan, stand the can upright, and fill the pan with water so the can is covered by 1–2 inches. Bring the water gently to a boil and let it simmer over low heat for 2–3 hours, checking occasionally and adding more water as needed to keep the can submerged. Remove the can from the hot water and let it cool completely to room temperature before opening; this can take several hours. Never open it while it is still hot.

Cut the cold butter into cubes and return it to the refrigerator until needed.

Preheat the oven to 375°F. Line a baking sheet with parchment paper.

Sift or stir the powdered sugar into a bowl with the all-purpose flour and cornstarch so everything is evenly distributed.

Add the cold butter cubes to the dry ingredients and rub together with your fingertips, a pastry cutter, or a food processor until the mixture first becomes crumbly and then comes together into a soft, smooth dough. Work quickly so the butter stays cold.

Shape the dough into a flat disk, wrap in plastic wrap, and refrigerate for 10–20 minutes if it is too soft to roll out. This makes it easier to handle and helps prevent spreading during baking.

Roll the dough out on a lightly floured work surface to about 1/4 inch thick. Cut out circles about 1 1/2 inches in diameter. Gather the scraps, knead them together briefly, and roll out again; if the dough starts to warm up, chill it briefly.

Place the circles on the lined baking sheet with enough space between them and bake for 8–12 minutes, until the edges are lightly golden brown. Keep a close eye on them, as baking times vary by oven.

Let the cookies cool completely on a wire rack.

Open the fully cooled can of condensed milk, stir it, or transfer the dulce de leche to a piping bag. Spoon or pipe a generous teaspoon of dulce de leche onto half of the cookies and top with the remaining cookies to make sandwiches.

Roll the edges of each alfajor in finely grated coconut so the filling is coated on the sides.

Serve the alfajores at room temperature. Store leftovers in an airtight container at room temperature or in the refrigerator if you prefer.