Preheat oven to 375 degrees F.
Combine shortening, Nutella, peanut butter, brown sugar, milk and vanilla in large bowl. Beat with electric mixer at medium speed until well blended. Add egg. Beat just until blended.
Combine flour, salt and baking soda. Add to creamed mixture at low speed. Mix just until blended.
Drop by heaping teaspoonfuls (using a cookie scoop works great) 2 inches apart onto ungreased baking sheet. Flatten slightly in crisscross pattern with tines of fork.
Bake for 7 to 8 minutes, or until set and just beginning to brown. DO NOT OVERBAKE. Cool 2 minutes on baking sheet. Remove cookies to cooling racks to cool completely.