Cream shortening, sugar, egg and vanilla in large mixer bowl until light and fluffy. Combine flour, cocoa, baking soda and salt; add alternately with milk to creamed mixture until ingredients are combined.
Drop by teaspoonfuls onto ungreased cookie sheet. Bake at 375° for 11 to 12 minutes or just until soft-set (do not overbake). Cool one minute. Remove from cookie sheet; cool completely on wire rack. Prepare Creme Filling. Spread bottom of one cookie with about one tablespoon filling; cover with another cookie. Repeat with remaining cookies. Makes about 15 cookies.
Creme Filling:
Cream butter and shortening in small mixer bowl; gradually beat in marshmallow creme. Blend in vanilla and confectioners' sugar; beat to spreading consistency.