Mix 11 tablespoons unsalted butter and 1 cup sugar in a large bowl, until very creamy, using a spatula, handheld mixer, or a wooden spoon.
Add 2 egg yolks and 1 egg and mix well to incorporate.
Add 1 tablespoon cognac, ½ teaspoon vanilla extract, and ¼ teaspoon lemon zest. Mix well.
Add the sifted 1 cup all-purpose flour, ½ teaspoon baking powder, pinch salt and 2 cups cornstarch gradually, mixing very well until no streaks of dry ingredients remain. The final dough will be very soft and silky but not sticky.
Pat it into a disc, wrap the dough in plastic wrap or freezer sheets, and let it rest in the refrigerator for 30 minutes, like any sweet dough. At this point, it can be refrigerated for 3 days or frozen for a month, always well wrapped to prevent dryness.
Preheat oven to 325°F (170°).
On a floured surface, roll dough to ½ cm thick (about ¼ inch).
Using a round cookie cutter, cut circles and place them on a buttered cookie tray or use a Silpat. In my experience, they tend to stick when using parchment paper, but then, all papers are different depending on where you live. Thickness and size are totally up to you; I suggest you try different combinations and see which one works best for your taste.
Gather the scraps, roll them again and cut more alfajores cookies until you use up all the dough.
Bake for 10-12 minutes or until barely starting to color. Let cool completely on a wire rack.
Put about a tablespoon of dulce de leche (with a spoon or with a piping bag) and fill one round, flat side up. Press lightly with another round, flat side down forming the alfajores.
With the back of a small spoon, wipe any dulce de leche that has overflowed. This will leave a path for the coconut to stick.
Put ½ cup unsweetened shredded coconut on a small plate or bowl and roll the sides of the alfajores until coated. Or leave the sides plain.
Eat them and be happy.