Slice the courgettes lengthways, as thin as you can . Grill them on the barbecue or on a red hot pan until they are lightly charred on both sides. Put them in appropriate container, cover and leave aside. In the meantime, sauté the spinach with garlic and olive oil for five minutes on medium heat. Take 2 courgette slices, place them on a clean, dry surface and shape them in a cross. Repeat with the rest of the courgette slices. With a small spoon, put a spoonful of the spinach mixture on each courgette cross. Fold the strips of courgette over to make a parcel. Place a piece of cheese on top of every parcel and put it under the grill for 3-5 minutes. For sauce: Crumble the blue cheese into the cream and put it over a medium heat, while constantly stirring until the sauce becomes thick. Pour over each piece and place a walnut halve on top every parcel. Serve hot.