1) Beat together the sugar, shortening, salt, and vanilla. The mixture will seem very dry at first, but will eventually begin to clump together.
2) Add the water, beating until smooth and spreadable. The filling should be stiff, but not so stiff that you can't flatten it when you sandwich it between your cookies.
3) For best presentation, roll pieces of filling into a ball before gently flattening atop cookie bottoms, and adding cookie tops.
Yield: a heaping 1 1/2 cups filling, enough to fill about 24 to 30 medium (about 2 1/2") sandwich cookies.