Combine the apples, sugar, water and cinnamon in a medium-sized saucepan and bring to a simmer over medium heat. Cover and cook, stirring occasionally, for 15 minutes. Remove the lid and cook for 5 minutes more, until the apples are soft and the liquid has almost evaporated.

Divide half the cookie crumbs among 4 ice cream goblets. Divide the frozen yogurts between the goblets, and top each with a portion of the apples. Sprinkle the top of each with the remaining cookie crumbs; serve immediately.