In a medium saucepan over medium heat, add in the apples, cornstarch, vanilla, cinnamon, brown sugar, salt, butter and walnuts.

Let simmer after the butter and sugar have melted, approximately 10 minutes.

Remove from the heat and let filling cool for 15-20 minutes before filling your turnovers.

Unroll your thawed pastry sheets onto a floured surface.

Once your sheet is unfolded and laid out, cut each sheet into 4 squares.

Spoon your filling onto the middle of each square.

Fold your pastry over onto itself and crimp the edges with a fork to seal.

Once your pastries are made, brush their tops with the egg and cut 2 or 3 small slits in the dough to allow steam to escape.

Place on cooking sheet sprayed with non-stick spray.

Bake for 20 minutes or until they turn a light golden brown.

In a small bowl, combine confectioners sugar, vanilla extract and milk.

Whisk to combine.

Drizzle over turnovers once they have cooled for 10 minutes.

Yes, let them cool for 10 minutes.