In a large bowl, mix together the confectioners' sugar, flour and salt. Make a well in the center, and add melted butter, egg whites, heavy cream and vanilla. Mix until well blended. Cover and refrigerate for at least 2 hours or overnight.
Preheat oven to 425 degrees F (220 degrees C). Grease 2 baking sheets with vegetable oil spray or shortening.
Spoon a heaping tablespoon of dough onto one of the prepared baking sheets. Using the back of a spoon, spread the batter into a very thin 6 inch by 3 1/2 inch oval. Make as many as 4 per baking sheet (you'll need to work quickly to shape them after they bake).
Bake until the edges are turning brown, about 6 minutes. Using a long metal knife or spatula, remove one cookie from the baking sheet to a clean surface. Use a chopstick or thin wooden dowel to roll the cookie up, starting at the long side. Repeat with remaining cookies. If cookies get too stiff to roll, place baking sheet back in the oven for about 30 seconds.
Prepare the second sheet while the first is baking. Continue baking and shaping cookies until batter is used up. Cool on a wire rack.
In a bowl over simmering water, combine the chocolate, corn syrup and remaining 1/4 cup butter. Stir occasionally until melted and smooth. Let cool slightly. Dip about 1 inch of the end of each cookie into the chocolate sauce. Allow the cookies to set up on waxed paper.