Preheat oven to 350°. In a small bowl, combine cocoa and water. Cool for 5 minutes. In a large bowl, cream shortening and sugar until light and fluffy, 5-7 minutes. Beat in the eggs, vanilla and cocoa mixture. Combine dry ingredients; gradually add to creamed mixture alternately with buttermilk, beating well after each addition , Drop two tablespoons to form each cookie, 2 in. apart onto greased baking sheets. Bake until firm to the touch, 10-12 minutes. Remove to wire racks to cool. , For filling, in a small saucepan, combine flour and salt. Gradually whisk in milk until smooth; cook and stir over medium-high heat until thickened, 5-7 minutes. Remove from heat. Cover and refrigerate until completely cool. , In a small bowl, cream the shortening, sugar and vanilla until light and fluffy, 5-7 minutes. Add milk mixture; beat until fluffy, 7 minutes. Spread filling on half the cookies; top with remaining cookies. Store in the refrigerator.