Combine flour, baking powder, and salt in a bowl.

Cream together shortening and white sugar in a bowl until creamy. Add 1 egg at a time, mixing well after each. Add 2 teaspoons anise extract and vanilla extract. Slowly add milk and mix until all ingredients are blended. Slowly add flour mixture, and mix until thick but creamy. Place dough in the refrigerator for 30 minutes to overnight.

Preheat the oven to 375 degrees F (190 degrees C).

Coat a work surface and hands with flour. Take a quarter-sized piece of dough and roll into a long narrow sausage shape. Form into desired shapes, such as "s" shapes, twists, candy canes, letters, etc. Cookies will puff up when baked, so be sure each cookie is only about the width of a pinky finger. Place cookies on a baking sheet about 1 1/2 inches apart.

Bake in the preheated oven until light golden in color and golden brown on the bottom, 12 to 15 minutes. Let cool completely, about 1 hour.

Place confectioners' sugar in a bowl and add 2 teaspoons anise extract. Mix in milk 1 tablespoon at a time until icing is smooth and creamy and not too drippy. Coat cooled cookies with icing and top with sprinkles.