Mix cake flour, sugar, and salt in a bowl. Add water and mix, then cut in shortening or butter. Knead the dough until stiff but manageable.
Heat deep frying oil on the stove. Prepare glaze by whisking dry milk, cornstarch, powdered sugar, warm water, and vanilla until smooth.
Divide dough into pieces for pies. Roll out each piece thinly and place on a surface. Add a tablespoon of cold filling on one half of the dough.
Dip fingers in water and moisten edges of half the dough. Crimp the edges together, ensuring a tight seal. Remove excess dough and repeat for remaining pieces.
Deep fry pies in heated oil, ensuring they cook evenly. Remove and place on a rack to drain excess oil.
While warm, dip fried pies in the glaze. Allow them to cool and dry on a rack.
Serve and enjoy the delicious fried pies with your preferred filling.
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