The windowed-Shannon wavelet is not recommended generally as the window function will destroy the partition of unity of Shannon mother wavelet. A novel windowing scheme is proposed to overcome the shortcoming of the general windowed-Shannon function, and then, a novel and efficient Shannon-Cosine wavelet spectral method is provided for solving the fractional PDEs. Taking full advantage of the waveform of sinc function to hold the partition of unity, Shannon-Cosine wavelet is constructed, which is composed of Shannon wavelet and the trigonometric polynomials. It was proved that the proposed wavelet function meets the requirements of being a trial function and possesses many other excellent properties such as normalization, interpolation, two-scale relations, compact support domain, and so on. Therefore, it is a real wavelet function instead of a general Shannon-Gabor wavelet which is a kind of quasi-wavelet. Next, by means of the Shannon-Cosine wavelet collocation method, the corresponding algebraic equation system of the fractional Fokker-Planck equation can be obtained. Approximate solutions of the fractional Fokker-Plank equations are compared with the exact solutions. These calculations illustrate that the accuracy of the Shannon-Cosine wavelet collocation solutions is quite high even using a small number of grid points.