Preheat oven to 350º.
Combine flour, cocoa, baking soda, and salt, stirring well with a whisk.
Place shortening in a large mixing bowl; beat with a heavy-duty mixer at medium speed until light and fluffy.
Gradually add the granulated sugar, 1 tablespoon at a time, beating until well blended.
Add vanilla and egg white; beat well.
Add flour mixture; beat until well blended.
Turn dough out onto wax paper; shape into a 6-inch log.
Wrap log in wax paper.
Freeze 2 hours until very firm.
Cut log into 1/4-inch slices, and place slices 1 inch apart on baking sheets coated with cooking spray.
Bake at 350º for 7 minutes. These will harden as they cool, so do not over bake.
Remove from pans; cool completely on wire racks.
Combine powdered sugar and milk in a medium bowl; stir well with a whisk until smooth.
Spoon into a small zip-top plastic bag; seal.
Snip a tiny hole in 1 corner of bag.
Working with 1 cookie at a time, pipe 2 to 3 circles onto each cookie.
Starting at center circle, pull a wooden pick through other circles at regular intervals to create a "web."
Note: For the glaze, snip a very small hole in the corner of the plastic bag. If it's too small, you can always make it bigger.