Bake the cake in a 13 by 9-inch baking pan according to the package's directions. Pour pudding into a bowl and add milk and Kahlua; mix well. Leave Heath bars in wrappers and pound with a hammer to crush.
In a very large pretty Trifle dish or glass bowl, layer in this order:
1/2 the cake cubes
1/2 the pudding mixture
1/2 the whipped cream
1/2 the Heath bars
Repeat layers. Cover with plastic wrap and refrigerate overnight.