Preheat oven to 350 degrees.
Blend sugars, shortening,water, vanilla and egg until smooth.
In another bowl, mix oats, flour, and baking soda.
Add the oats to the sugar mixture. Combine well.
Mold the cookie mixture around a Mars Milky Way Bite, making sure it is completely enclosed.
Place on greased cookie sheet 2 inches apart and bake for 12 minutes or until slightly brown.
Let cool on wire rack.