The butter needs to be at room temperature. Beat it with a mixer until you obtain a fluffy cream. Then add the sugar to it. Beat with the mixer again.
Add the water and egg yolk. Beat well. Sift the flour and add it gradually to the mixture. Knead a soft dough. Leave it in the fridge for 2 hours. Then prepare the filling.
Roll out the prepared dough into a sheet 1/4 thick. Cut it into identical squares. Put filling at one end of the squares and roll them up into cigars.
Arrange them in an oven dish laid out with baking paper. Bake them in a moderate oven. The cigars are ready once slightly reddened. While still warm, roll them in powdered sugar.