How to Make It
Melt 1 1/2 tablespoons of the butter in a large, deep skillet. Add the mushroom quarters and minced shallot, season with salt and pepper and cook over moderately high heat, stirring frequently, until the mushrooms are softened and golden, 6 to 7 minutes. Add the wine and simmer until reduced to 2 tablespoons, about 5 minutes. Add the cream, Roquefort and rosemary and simmer over moderately low heat until slightly thickened, about 7 minutes. Season the mushroom sauce with salt and pepper and keep warm.
Meanwhile, in a medium saucepan, combine the milk with the water, the remaining 1 1/2 tablespoons of butter and 1 teaspoon of salt and bring to a gentle boil. Add the polenta in a thin stream, whisking constantly. Reduce the heat to moderate and cook, stirring with a wooden spoon, until the polenta is tender and pulls away from the side of the pan, about 10 minutes.
Spoon the polenta into deep bowls and spoon the mushroom sauce on top. Sprinkle with the parsley and serve immediately.