In a blender, blend together 1/2 cup of the milk with the cream cheese until smooth. Blend in remaining milk.
Dissolve coffee in water, Add to blended ingredients. Add pudding mix and blend until smooth.
Pour mixture into large bowl. Gently stir in Cool Whip.
Cut lady fingers in half crosswise. Spoon a small amount of pudding mixture into parfait glasses. Line glasses with lady finger halves. Gently spoon pudding mixture into center of glass.