1. Heat oven to 375°F. Line the cookie sheets with parchment paper. In a large bowl, stir cookie mix, 1/2 cup of coconut, pecans, butter and egg until a stiff dough forms.
2. On floured surface, roll half of the dough until 1/4 inch thick, then cut with 2-inch round or fluted cookie cutter. Place dough 2 inches apart on cookie sheets. Repeat with remaining half of dough.
3. Bake for 7 to 9 minutes or until set and cool for 2 minutes. Remove from cookie sheets to cooling racks and cool completely.
4. To make each sandwich cookie, spread about 2 teaspoons dulce de leche on bottom of each cookie. Press 2 cookies together so some of filling seeps out around edges. Roll the edges in remaining 1/2 cup coconut, and then place the cookies on a cooling rack.
5. Sprinkle the tops of the sandwich cookies with powdered sugar. Store between sheets of waxed paper in a tightly covered container.
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