To prepare dulce de leche (caramel) filling: Heat oven to 425 degrees F.
Pour sweetened condensed milk into 9-inch pie plate. Cover with aluminum
foil; place in larger, shallow pan. Fill larger pan with hot water, making sure
water does not reach top of pie plate. Bake 1 1/2 hours or until thick and caramel-colored,
checking water level after 45 minutes and adding hot water if needed.
(Microwave method: Pour sweetened condensed milk into 2-quart glass measuring
cup. Cook on 50 percent power 4 minutes, stirring briskly every 2 minutes until
smooth. Cook on 30 percent power 20 to 26 minutes or until very thick and caramel-colored,
stirring briskly every 4 minutes during the first 16 minutes and every 2 minutes
Let cool, then cover and refrigerate until needed.
To prepare dough: Sift together flour, cornstarch and baking powder; set
In the bowl of an electric mixer fitted with the paddle attachment, beat
butter, sugar and lemon zest on medium speed until smooth, 1 to 2 minutes. Beat
in whole egg, then egg yolk, scraping down the sides of the bowl as necessary.
(The mixture will look somewhat curdled.)
Add sifted ingredients all at once. On low speed, beat just until dough
comes together. Scrape out sticky dough onto plastic wrap, press into a disk,
wrap tightly and refrigerate at least 2 hours or overnight.
Heat oven to 325 degrees F. Lightly coat a large cookie sheet with cooking
spray, line with parchment, and then lightly spray the paper.
Place chilled dough on a well-floured surface; roll out with a floured rolling
pin to an even 1/4-inch thickness or slightly thinner. Using a sharp 2-inch
round cookie cutter, cut as many circles as possible, occasionally dipping the
cutter in flour to prevent sticking. Arrange the circles 1 inch apart on cookie
sheet. Gather scraps of dough, roll them out, cut more circles, and add to the
cookie sheet. If dough becomes overly soft and sticky, chill it briefly until
it is workable. Refrigerate the filled cookie sheet for 15 minutes.
Bake the cookies about 10 minutes, until they have just set and are slightly
puffed but not at all colored. Let cool for 1 or 2 minutes, then loosen cookies
with a spatula.
To form alfajores - Let dulce de leche come to room temperature. Pipe or
spoon about 1 tablespoon of dulce de leche onto the bottom (flat side) of a
cooled cookie. Make a sandwich with another cookie. Press the cookies together
gently to spread the filling to the edges. Roll the sticky rim in grated coconut.
Repeat with the remaining cookies.