Combine peanut butter, shortening, brown sugar, milk & vanilla in large bowl. Beat at medium speed of electric mixer until well blended. Add egg. Beat just until blended.
Combine flour & baking soda. Add to creamed mixture at low speed. Mix just until blended. Drop by tablespoonful of dough 2 inches apart onto large parchment lined baking sheet. Flatten slightly in a crisscross pattern with tines of fork.
Bake for 7 - 8 minutes or until set & just beginning to brown. Cool 2 minutes on baking sheet. Remove cookies to cooling racks to cool.