Femtosecond laser offers a means to confine energy beyond the diffraction limit. Applied to glass, this high energy confinement leads to intriguing modification of the glass structure, inducing a variety of events such as nano-crystallization, amorphization or phase separation. Here, we review these structural modifications, their observations as well as means to control it and one can achieve nanoscale confinement along the laser propagation axis. Furthermore, we discuss how they can be used in the context of functional micro-devices through selected applications, taken from research conducted in our research group, including nano-scale positioning, single-material photoconductive devices and information storage.