Heat oven to 450 degrees. Cut shortening into flours, baking powder and salt with pastry blender or 2 knives in large bowl until mixture resembles fine crumbs. Stir in bulgur. Stir in just enough milk so dough leaves side of bowl and forms a ball.
Turn dough onto lightly floured surface; gently roll in flour to coat. Knead lightly 10 times. Roll or pat 1/2 inch thick. Cut with floured 2 1/2-inch biscuit cutter. Place about 1 inch apart on ungreased cookie sheet.
Bake 12-14 minutes or until golden brown. Immediately remove from cookie sheet.
To cook bulgur: Add 3/4 cup dry bulgur to 1 1/2 cups boiling water; stir. Turn down to simmer for 30 minutes. Drain excess water.