Make the Cookie Dough

1. Combine Dry Ingredients: In a medium bowl, sift together the all-purpose flour, cornstarch, baking powder, and salt. Set aside.
2. Cream Butter and Sugar: In a large bowl, beat the softened butter and powdered sugar together until light and fluffy, about 3 minutes.
3. Add Vanilla and Egg: Mix in the vanilla extract and egg, beating until incorporated.
4. Add Dry Ingredients: Gradually add the dry ingredients to the butter mixture, stirring until just combined. The dough should be soft and slightly sticky.
5. Chill the Dough: Divide the dough into two halves, flatten each half into a disk, and wrap it in plastic wrap. Chill the dough in the refrigerator for at least 30 minutes. This step helps the cookies hold their shape when baking.

Shape and Bake the Cookies

1. Preheat the Oven: Preheat your oven to 350°F (175°C) and line two baking sheets with parchment paper.
2. Roll Out the Dough: On a lightly floured surface, roll out the dough to about ¼ inch thick. Use a round cookie cutter (about 2 inches in diameter) to cut out circles.
3. Bake the Cookies: Place the cookie circles on the prepared baking sheets, leaving a little space between each one. Bake for 12-15 minutes, or until the edges are lightly golden. Be careful not to overbake, as the cookies should remain soft.
4. Cool the Cookies: Let the cookies cool on the baking sheets for a few minutes before transferring them to a wire rack to cool completely.

Assemble the Alfajores

1. Fill the Cookies: Once the cookies have cooled, spread a generous amount of dulce de leche on the flat side of one cookie. Sandwich it with another cookie to create a cookie sandwich.
2. Roll in Coconut: Roll the edges of the cookie sandwich in the shredded coconut, pressing gently to ensure it sticks.