Mix the butter with the sugar using a whisk until you have an even paste.
Add the yolks and water an mix again.
Sift the dry ingredients and mix them in using a spatula until it can't help you any longer and switch to your hands. Don't knead it, just mix it in because if you work it too much it goes tough.
Wrap in cling film and take to the fridge for 30min so we can roll it out later. You can keep it in the fridge for up to 4 days. If you have it in there longer than an hour, take it out and let it warm up a bit before rolling it so it doesn't break.
Dust a clean surface with flour and also put some on top of the dough. Roll it out until it has 3mm thickness, moving it around after every roll to make sure it's not sticking.
Cut out the alfajores' cookies and place them on a baking tray with a silpat or baking paper.
Take to a preheated oven at 180C for 8min.
Let it cool down completely before filling.
Put the milks in a large pot and stir constantly with a spatula on medium-low heat until you can clearly see the base of the pot. For further reference watch the video above.
Transfer to a large container (so it cools faster) and let it come to room temperature.
Fill the cookies using a piping bag.
Dust with icing sugar.