HEAT oven to 350 degrees F. Adjust rack to middle position. Coat two cookie sheets lightly with no-stick cooking spray.
BEAT brown sugar and shortening in medium bowl with an electric mixer at medium speed for 2 minutes or until fluffy. Scrape down sides of bowl. Add egg yolks, water, vanilla and salt. Beat until well combined. Add flour on low speed until well blended.
BEAT egg whites in a shallow bowl until foamy. Place pecans in a separate shallow bowl. Measure about 2 teaspoons dough for each cookie. Form into balls by rolling between your palms. Dip each dough ball into egg whites, then roll into pecans. Place on the prepared cookie sheet. Using the back of a teaspoon or your thumb, make a rounded indentation in the top of each cookie.
BAKE 10 minutes. Remove from oven. It may be necessary to create the indentation once again with a spoon. Place about 1/2 teaspoon hot fudge topping into the indentation of each cookie. Then place about 1/2 teaspoon jam on top of the hot fudge. Bake an additional 5 to 7 minutes or until lightly browned. Remove from oven. Allow cookies to cool on baking sheet for several minutes. Remove to cooking rack to cool completely.