In the bowl of an electric mixer beat shortening, powdered sugar, milk and vanilla at medium speed until well blended and fluffy.
Combine flour, oats, pecans and salt. Add gradually to creamed mixture at low speed. Shape rounded teaspoonfuls of dough into balls. Place 2-inches apart on ungreased baking sheets.
Bake 15 to 18 minutes or until set and bottoms are light golden brown. Cool on cooling racks just until cool enough to handle. Roll warm cookies in powdered sugar. Cool completely. Roll again in powdered sugar if desired.