Grease and flour a 9x13 inch pan. Line the bottom of pan with parchment paper. Prepare the cake mix according to directions on package. After baking, let cool completely. While cake is cooling, prepare the filling.
To Make The Filling: In a small saucepan over medium low heat, combine flour and milk. Cook, stirring constantly, until mixture thickens and boils. Remove from heat and cool completely.
In a small bowl, beat flour and milk mixture until fluffy. Add sugar and salt and beat well. Add shortening and beat well. Add butter and beat well. Add vanilla and incorporate thoroughly. Total mixing time should be 8 to 10 minutes, beating very well with each addition. This creates a light and fluffy filling.
Remove cake from pan and split lengthwise. Spread filling over layer and replace top layer. Cover with plastic wrap and refrigerate overnight. Let cake stand at least one day to develop flavor.