In a large mixing bowl, beat the shortening, sugar, egg and vanilla together until well blended.
In a separate bowl, mix the flour, cocoa, baking soda and salt.
Add the powdered mixture to the shortening mixture alternately with the milk, beating until well blended.
Spoon mixture onto baking sheets, and bake at 350 for 10 minutes, rotating baking sheets at 5 minutes. Remove from baking sheets and let cool on wire racks.
In a separate bowl, mix the ingredients for the filling. When cookies are completely cooled, spread cream mixture between 2 cookies. Store in an airtight container.
For some tasty alternatives, crush pieces of your favorite candy (Butterfinger, peppermints, toffee pieces, M&M's, mini chocolate chips, sprinkles) and roll creme edge of cookie into it, or even add it to the mixture itself. You could also flavor or color the creme.
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