Alfajores are a traditional Latin American cookie reminiscent of a dulce de leche flavor. This recipe was featured in the Caramel episode of Martha Bakes.
Line a baking sheet with parchment or a nonstick baking mat (such as Silpat).
Sift together flour and confectioners’ sugar. In a food processor, pulse together flour mixture and butter until the mixture resembles coarse meal, about 20 seconds. With machine running, pour in the water in a slow steam and process just until the dough comes together, about 20 seconds. Form the dough into 2 flattened disks and wrap well in plastic. Refrigerate 1 hour.
Preheat oven to 350°. On a well-floured work surface, roll out 1 disk of dough to a scant 1/4-inch thickness. Using a 1 3/4-inch round cookie cutter, cut out rounds from dough and transfer to prepared baking sheet. Repeat with other disk of dough. Gather up the scraps from both batches, and reroll and cut. Sprinkle half the rounds with sanding sugar. Bake until golden brown, about 15 minutes, rotating sheets halfway through. Transfer to a wire rack to cool completely.
About 30 minutes before serving, spread 1 to 2 teaspoons of the cold dulce de leche on bottom of unsugared cookies. Place sugared cookies on top to make sandwiches. Serve immediately. Unfilled cookies can be stored in an airtight container at room temperature up to 3 days.
For the dulce de leche: Empty milk into the top of a double boiler or a heatproof bowl over a pan of simmering water. Cover with a tight-fitting lid. Cook, stirring every 10 to 15 minutes, until milk is thick and amber in color, about 5 hours. Remove from heat and beat with a wooden spoon to smooth out. Transfer to a clean bowl, and refrigerate several hours or up to 3 days.
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