Preheat oven to 400°F. Lightly grease a 9x13 inch baking dish.
Combine flour, icing sugar, butter, vanilla and egg in a large bowl. Beat on low speed until dough forms into a ball. Press into prepare baking dish.
Mark dough into squares with the tip of a sharp knife, only scoring lightly, not cutting al the way through. Press an imprint into dough with your thumb in the center of each square. Place about 1 tsp jam in each imprint.
Bake in preheated oven for 15-20 minutes, or until lightly browned. Re-cut while warm along marked lines. Cool.