Preparation - Beat the egg in a large mixing bowl. Add the cake mix, water and vegetable oil and mix at medium speed with an electric mixer for about 2 minutes. The batter will be very thick. Shape small amounts of the batter into 1" to 1-1/2" balls. Spray 2 cookie sheets with non-stick cooking spray. Place the balls 2" apart on the prepared cookie sheets. Bake in a preheated oven at 350º for 8 to 10 minutes. Remove the baked cookies from the oven. While the cookies are still very warm, roll each one in Confectioners' sugar. Place the sugar coated cookies on wire racks to cool. Store in layers in an airtight container, with waxed paper between the layers.