Preheat oven to 375F.
In a large mixing bowl, beat together the shortening, peanut butter, brown sugar, milk, and vanilla with an electric mixer until well blended. Add the egg and mix just until combined.
In a small mixing bowl, whisk together the flour, cocoa powder, baking soda, and salt. Add the dry mixture to the wet mixture and stir until combined.
Scoop the cookie dough onto an ungreased cookie sheet to form 1 to 1 ½ inch dough balls. Use a fork to press the dough down and create the traditional crisscross pattern on each cookie.
Bake for 7-8 minutes at 375F just until set around the edges. Cool for 2 minutes on the cookie sheet, then transfer to a wire cooling rack to cool.