Mix feta cheese and dill/parsley in a small bowl. Place Phyllo Pastry sheets on top of each other and cut them in half. Then again cut the 2 pieces crosswise from the corners and form 4 pieces. Place 1 tsp of filling on the wide sides and fold the corners inside. Then, roll them up and soak the end to water and close it up. Roll all the sheets up in the same way (you can use 2 pieces of sheets together since the sheets are very thin, but it is up to you).
Sizzle the oil in a large skillet and fry the both sides of Cigarette Boreks over medium heat till their color turn into a light golden brown color. After that, place them on a paper towel to soak the excess oil up.
Place them to a serving plate and serve warm.