You make tres leches cake by baking a light sponge cake, poking holes across its surface, and soaking it in a mixture of three milks. The sweet soaking liquid combines evaporated milk, sweetened condensed milk, and heavy cream or whole milk. Refrigerate the soaked cake for several hours so it absorbs the rich liquid without becoming overly soggy. Top the finished cake with a thick layer of whipped cream and a dusting of cinnamon before serving.