Cream shortening, peanut butter, and sugar together. Add egg, milk, and vanilla and blend well. Set aside. Sift baking powder and flour together, add to first mixture, and mix well.
Chill dough in a bowl (for easier handling) for about 15 minutes.
Roll dough into 1-inch balls. Place on an ungreased cookie sheet about 2 inches apart. With your finger, press an indentation in the center of each cookie, and place a small dab of jam in the dent. Do not overfill, or the jam will run out and burn on the cookie sheet.
Bake at 375° for 12 - 15 minutes, until golden brown.
Remove and cool cookies on a rack.