Sift together flour, cocoa, salt and soda; set aside. In a bowl, cream shortening and sugar until light and fluffy; add the egg, vanilla and milk. Gradually add dry ingredients and mix well.
Drop by heaping teaspoonfuls about 2 in. apart on greased baking sheets. Bake at 350° for 8 minutes. Do not overbake. Remove cookies from the oven and top each with a marshmallow half. Return to oven for 2 minutes. Remove cookies to wire racks to cool.
Meanwhile, beat all frosting ingredients together. Spread frosting on each cookie and top with a pecan half.