You mean - Alfajores (the correct Spanish spelling).
There are tons of reciepes out there (just google Alfajores recipe), but make sure to choose a recipe that uses:
1. Cornstarch (corn flour) rather then regular all purpose flour
2. Real Dulce de lece rather then caramel or condenced milk filling
3. Coconut trim
Recipes containing these ingredients are more genuine and yield better results.
Good baking