1 (14 oz.) can sweetened condensed milk (not evaporated milk)
1/2 C. all-purpose flour
1 1/4 C. cornstarch
1 T. baking powder
6 T. butter, softened
1/2 C. granulated sugar
1 T. grated lemon zest
1 large egg
1 large egg yolk
nonstick cooking spray
about 1/2 C. shredded unsweetened coconut
To prepare dulce de leche (caramel) filling:
(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 after that.)
Let cool, then cover and refrigerate until needed.
To prepare dough:
Sift together flour, cornstarch and baking powder; set aside.
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.
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.