Special equipment: 2 to 3 inch madeleine molds, or other shell molds of the same size
In a food processor, blend butter, cream cheese, flour, and salt until the mixture forms a ball of dough. Flatten the ball, wrap in waxed paper, and chill it for 1 hour. Press small pieces of the dough into the madeleine molds, pressing the dough as thin as possible and trimming away any excess dough around the edges. Chill the shells for 10 minutes, press a 2-inch square of foil into each mold to weigh the dough, and bake the shells on a baking sheet in a preheated 375 degree F oven for 10 to 12 minutes, or until they are pale golden. (If the dough is not pressed into the molds evenly, some of the shells may brown faster than others.) Remove the pastry shells from the molds, transfer them to racks, and let them cool. The shells may be made in advance and kept in an airtight container for up to 2 days or frozen for several weeks.
In the refrigerator let the yogurt drain through a sieve lined with a double thickness of rinsed and squeezed cheesecloth set over a bowl, covered with plastic wrap directly on the surface of the yogurt, for 2 days. Transfer the yogurt to a bowl and discard the liquid.
Just before serving, in each of half the shells put about 1/2 teaspoon of the yogurt, add about 1/4 teaspoon of the roe and a dill sprig, and top the filling with a second shell.