I watched that one a number of times on one of Hurley's old clip tapes. My opinion, based on what looked pretty obvious in the video, is that the thrown pie landed against a piece of plexiglass (or whatever) placed between her and the pie. They then cut to her wiping away what appears to be very carefully applied shaving cream from her face.
It always looked very staged to me, personally. I've thrown lots of pies in lots of faces, and the results of her "pie in the face" did not match what I'm accustomed to seeing.
They made two versions, one with her showing that the pie hit plexiglass and her saying something to the effect of 'you didn't think I'd let them do it, do you?' A second version was made where it did hit her, but it didn't look like it hit her too solidly. When it was revealed the shaving cream on her face did look 'applied'.