Line an 8 x 8 square pan with foil and lightly grease with nonstick cooking spray.
In a double boiler over hot (not boiling) water, combine chocolate and vegetable shortening. Cook, stirring until the morsels melt and the mixture is smooth.
Remove melted chocolate from heat and pour half into the prepared baking dish. Using a spatula, spread evenly. Refrigerate for about 15 minutes or until firm
Return remaining half of the chocolate to low heat.
In another pan over low heat, combine caramel, butter or margarine, and water. Stir until melted and smooth.
Add walnuts to caramel mixture and stir to combine.
Pour the caramel mixture over the chocolate-lined pan and using a spatula, spread evenly. Refrigerate for about 15 minutes or until gummy.
Spread remaining melted chocolate evenly on top of caramel filling.
Chill in the refrigerator for about 1 hour or until firm. Cut into serving portions.