In a large mixing bowl, combine the water and yeast and let it proof for 5 minutes.
When the 5 minutes are up, add the eggs, melted shortening, milk, salt, vanilla extract, sugar, and mix until well incorporated.
Add the flour 1 cup at a time and knead until you're left with a slightly tacky ball of dough.
Place the dough in a greased bowl, cover, and place somewhere warm for 2 hours or until the dough doubles in size.
Roll out the dough into a 1/2 inch thickness and cut out the donuts using a cookie or biscuit cutter.
Cover the cutouts and let it rise for an additional 1 hour.
Fry the donuts for 1 minute on each side.
Let the donuts cool.
Using a piping bag and skewer, fill the donuts with jelly and then top them off with powdered sugar.