Mix shortening, sugar and eggs. Stir in milk and vanilla.
In another bowl, sift together flour, soda, and salt. Mix wet and dry ingredients.
Blend in nuts and chill 1 hour.
Heat oven to 375 degrees. Drop rounded Tablespoons 2 inches apart. Bake 10 minutes. While still warm, frost with burnt butter glaze.
Burnt Butter Glaze: heat 2 Tbsp. butter until brown. Add to 2 cups powdered sugar and 1/4 cup canned milk.