To make praline, preheat oven to 375 degrees. Toast the pecans on a baking sheet for 10 minutes. Place sugar and water in a small saucepan and bring to a boil. Cover and boil for 2 minutes. Uncover and cook for 2 more minutes. Add toasted pecans and stir until evenly coated. Spread onto greased baking sheet. When cool, place the hardened praline in a plastic bag and crush with a rolling pin until the pieces are small.
To make cookies, place brown sugar, shortening, milk and vanilla in large bowl. Beat at medium speed until well blended. Add egg; beat well. Combine flour, salt and baking soda in another bowl. Add to the shortening mixture and beat at low speed. Stir in 1-½ cups of crushed praline. Shape dough into 1-inch balls. Dip top of each ball into remaining crushed praline. Place 3 inches apart on ungreased baking sheets. Bake at 375 degrees for 9 to 11 minutes. Cool 2 minutes on baking sheet then remove cookies to foil to cool completely.