Preheat oven to 350 degree F. Spray a glass 13x9 baking dish with baking spray. Set aside.
In a large mixing bowl, beat cake mix with milk, butter and eggs on low speed until moistened. Beat for 2-3 minutes on medium speed until well blended, scraping down the sides of the bowl as necessary.
Pour cake batter into prepared baking dish. Bake for 36-40 minutes. Remove from oven and immediately poke holes all over the cake, using a wooden skewer (or fork, or handle of a wooden spoon).
Pour can of sweetened condensed milk slowly over the top of the warm cake, using a spatula to spread it evenly as it falls into the poked holes. Cover with foil and refrigerate for 4 hours, until completely chilled.
Top cake with thawed whipped topping. Sprinkle coconut generously over the top. Cut into slices and enjoy!