1Heat oven to 350°F. Lightly grease bottom only of 8- or 9-inch square pan with shortening.
2In large bowl, beat all cake ingredients with electric mixer on low speed 30 seconds. Beat on medium speed 2 minutes, scraping bowl occasionally. Spread batter in pan.
3Bake 8-inch pan 35 to 40 minutes, 9-inch pan 33 to 38 minutes, or until toothpick inserted in center comes out clean. Cool completely in pan on cooling rack, about 1 hour.
4In large bowl, beat 1/4 cup butter, the milk, orange peel and vanilla with electric mixer on low speed until smooth. Gradually beat in powdered sugar, 1 cup at a time, until smooth and spreadable. If frosting is too thick, beat in more milk, 1 teaspoon at a time. Frost cake. Sprinkle with walnuts. Cut into 3 rows by 3 rows.