Line an ungreased 9-in. square pan with foil and grease the foil with 2 teaspoons butter; set aside.
In a microwave or heavy saucepan, melt one package of chips and 2 tablespoons shortening; stir until smooth. Pour into a prepared pan. Refrigerate for 20 minutes.
Meanwhile, in a large heavy saucepan over medium-low heat, combine the caramels, water and remaining butter. Cook and stir until caramels are melted and mixture is smooth. Stir in walnuts. Pour over chocolate layer. Refrigerate for 45 minutes.
In a microwave or heavy saucepan, melt remaining chips and shortening. Spread over caramel layer. Cover and refrigerate for at least 2 hours or until firm.
Using foil, lift candy our of pan. Discard foil; cut candy into squares. Store in the refrigerator.