I ate a fritolay cookies which has insects in it, what should i do ?

You should return the cookies to the store where they were purchased and they should give you a full refund. You can also write a letter to Frito Lay or fill out a form on their website explaining the problem. The store and Frito Lay will want to know about the problem. You apparently did not consume the cookies so it is unlikely that you have a damage claim.