HEAT oven to 375 degrees F. Combine peanut butter, shortening, brown sugar, milk and vanilla in large bowl. Beat at medium speed of electric mixer until well blended. Add egg. Beat just until blended.
COMBINE flour, baking soda and salt. Add to creamed mixture at low speed. Mix just until blended. Drop by rounded tablespoonfuls 2-inches apart onto greased baking sheet. Flatten slightly in a crisscross pattern with tines of fork.
BAKE one baking sheet at a time 7 to 8 minutes, or until set and just beginning to brown. Cool 2 minutes on baking sheet. Remove cookies to cooling racks to cool completely.