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Making the Cookies: First, preheat the oven to 350 degrees.
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In a medium-sized bowl, stir together the flour and the cocoa; set aside.
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In a small bowl, dissolve the baking soda in the hot water, then add milk, set aside.
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In the bowl of an electric mixer, beat the shortening and sugar until fluffy.
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Add the egg and beat another minute.
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Mix in half of the dry ingredients, then half of the wet; repeat.
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Drop batter by heaping teaspoons, about 2 inches apart, on an ungreased cookie sheet.
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Bake for 8 minutes.
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Cool thoroughly.
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Making the Filling: In the bowl of an electric mixer, cream butter, shortening, vanilla extract, and powdered sugar, beating until fluffy.
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Add milk, one tablespoon at a time, until the frosting has a creamy consistency.
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Assemble: Using a butter knife, spread the frosting between two cookies.
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Wrap Whoopie Pies individually or place them in a single layer on a plate.