In a medium bowl, mix together shortening and cream cheese until well blended. Slowly add powdered sugar to the mixture. Next, stir in the flour until you form a dough. If the mixture seems too dry, add a couple of teaspoons of water. Cover and chill dough several hours or overnight.
Preheat the oven to 375 degrees. Lightly spray cookie sheets with cooking spray.
Before rolling out the dough, dust the rolling surface heavily with confectioner's sugar. Roll the dough out to 1/8 inch thickness. Cut into 1X4 inch strips. Place a cherry on the end of each strip. Roll up each strip starting with the cherry. Roll, turn, then roll to cover. Pinch together to cover cherry with dough. Place on prepared cookie sheets.
Bake for 10-12 minutes in preheated oven. Cookies should be slightly browned. Allow cookies to cool.
Icing: Add a little milk to a small bowl of confectioner's sugar until desired consistency (thick enough to coat cookie thoroughly by dipping, yet not too thick so that you need to spread it with a knife). Dip tops of cookies in icing. If desired, decorate with colorful sprinkles before they dry.