In a large bowl, cream butter and sugar until light and fluffy. Beat in water. Combine the flour and salt; gradually add to creamed mixture and mix well. Stir in walnuts. Roll into 1-in. balls.
Place 1 in. apart on ungreased baking sheets. Coat bottom of a glass with cooking spray, then dip in sugar. Flatten cookies with prepared glass, redipping in sugar as needed.
Bake at 350° for 12-15 minutes or until edges are lightly browned. Cool for 2 minutes. Remove to wire racks; cool completely.
For filling, in a small bowl, beat cream cheese and butter until fluffy. Gradually add confectioners' sugar and orange peel; beat until smooth. Spread over the bottoms of half of the cookies; top with remaining cookies. Store in the refrigerator.