Place the oranges (skin removed and segments separated) in a good quality blender.
Add heavy cream, sugar, milk and vanilla extract also to the blender.
Blend until smooth!
It is a good idea to filter the milkshake through a fine mesh strainer so that any residue from the strings of oranges can be removed easily.
Once the milkshake is filtered, you can blend it again in the blender for the foamy texture.Alternatively, you can just blend the oranges and milk in the first step, then filter it through a fine mesh strainer, and then transfer it back to the blender, add the cream, sugar and vanilla and blend until smooth.
Transfer the prepared orange creamsicle milkshake to glass cups, serve immediately for best results!You may also top the milkshakes with more whipped cream to make it even more delicious.