Trim fat from steaks. Place steaks in shallow dish. Pour 2 tablespoons of the cognac over steaks. Cover and marinate in refrigerator for 15 minutes, turning once. Drain steaks, discarding cognac in dish. Sprinkle steaks with pepper.
Place steaks on rack of uncovered grill directly over medium coals. Grill for 11-15 minutes for medium-rare or 14-18 minutes for medium, turning once.
Meanwhile, for sauce: In small saucepan, cook mushrooms and shallot in hot butter for 3 - 4 minutes or until tender. Stir in beef broth and remaining cognac. Bring to boiling; reduce heat. Boil gently, uncovered, for 5 minutes. In small bowl, stir together half-and-half, mustard, and flour. Stir into broth mixture. Cook and stir until thickened and bubbly. Cook and stir for 1 minute more. Serve sauce over steaks.