Preheat oven at 350ºF.
Line a baking sheet with parchment paper and place marshmallows on it. Bake for 10 – 15 minutes, until puffed up to double its size and browned on top.
In a large bowl, mix 1/4 of the condensed milk with vanilla. Add the marshmallows and stir with a spoon until the condensed milk is mixed with the marshmallows. It will start to stick together, pour the rest of the condensed milk in the bowl and continue to mix. Break up the big pieces and stir well.
Add 1/2 cup of the whipping cream to the bowl. With an electric mixer on low, blend until fully incorporated. Add the rest of the cream to the mix. Mix on high until the cream has soft peaks.
Pour into a freezer safe plastic container with a lid. Freeze overnight.