Cream together the cream cheese and butter until smooth and slightly fluffy.
Mix in the flour, around a third to half at a time, until combined. Form into a ball, wrap with cling wrap/film and refrigerate overnight (or at least a couple hours).
When ready to bake
Preheat the oven to 350F/175C.
Roll out the dough on a lightly floured surface into a relatively thin layer, approx ¼in/2mm thick. Trim the edges off the dough and cut it in to squares approx 2 ½in/6cm square.
Put approx 1tsp of jam in the middle of each square and fold over opposite corners. Seal them together by pressing with one finger inside, one over, using a little water to help them seal if needed.
Place the cookies on a lined cookie sheet and bake for approx 15-18 minutes until going lightly golden around the edges.
Leave to cool a minute before carefully transferring to a cooling rack. Dust with confectioner's sugar before serving.
Notes
You need a thick jam for this so it doesn't spread and leak too much during baking - some prefer to use a type of pie filling that holds it's form.