Gather your ingredients so that you have everything close at hand on the table or counter.
Combine 10 whole ice cubes, 1 cup whole milk, 1/4 cup granulated sugar, 1 cup cold water, 1 teaspoon vanilla extract, and 6 oz frozen orange juice in a blender.
Cover and mix until the ice is crushed for 20-40 seconds, depending on the power of your machine.