Preheat your oven to 350°F (175°C). In a large mixing bowl, combine melted butter, granulated sugar, and cocoa powder until smooth.
Add eggs and vanilla extract, whisk until combined. Fold in flour, mix just until incorporated.
Line a muffin tin with cupcake liners and evenly distribute the brownie batter, filling about two-thirds full. Bake for 5 minutes.
Remove from oven and press an Oreo cookie into the center of each brownie.
In a clean bowl, beat cream cheese, granulated sugar, and sour cream until smooth. Mix in egg, red food coloring, and vanilla until combined.
Spoon cheesecake batter over Oreos in each liner. Bake for 20-25 minutes until edges set.
Cool in the muffin tin for about 10 minutes, then chill in the refrigerator for at least 2 hours.
Whip together heavy cream, cream cheese, powdered sugar, and vanilla until fluffy. Serve with a dollop on each cheesecake.
