Cream together butter and sugar until light and fluffy. Add egg and vanilla; beat well. Mix flour and salt together in separate bowl. Pour about a third of the flour mixture into the butter mixture and mix well. Repeat until all of the flour mixture has been added. If the dough is too stiff, add 1 or 2 tablespoons of water. Chill dough in refrigerator for about 1 hour.
Preheat oven to 375 degrees F. Cut the chilled dough into 4 pieces. Roll each piece into a rope the length of your cookie sheet. Put ropes onto the cookie sheet, side by side. With your finger, make an indentation all the way down the middle of each rope. Bake for 6 minutes, then remove from oven and fill the indentation with jam. Put back in the oven for 6 to 9 minutes. Cut ropes into cookies and serve.