In large bowl, beat shortening and butter with electric mixer until light and fluffy. Add vanilla; mix well. Gradually add sugar, one cup at a time, beating well on medium speed. Scrape sides and bottom of bowl often. When all sugar mixture has been mixed in, icing will appear dry. In small bowl, combine milk and cornstarch; stir until cornstarch is dissolved. Add to icing mixture; beat at medium speed until light and fluffy.
Keep icing covered with damp cloth until ready to use. For best results, keep icing bowl in refrigerator when not in use. Refrigerated in an airtight container, this icing can be stored 2 weeks. Re-whip before using.
Makes about 3 cups.