In a stand mixing bowl, combine warm milk, active dry yeast, and sugar. Mix to combine then set aside for 5 minutes.*If you don't have a stand mixer, just use a small mixing bowl* Once the yeast has bloomed, add the egg, bread flour, and salt. With the hook attachment in place, turn on the stand mixer and knead for 5 to 10 minutes. At this point, the dough should have formed into a ball. If the dough is still sticking to the side of the bowl, add a teaspoon of flour at a time and knead until it is no longer sticking. Slowly add the room-temperature butter and knead for an additional 10 minutes.*If kneading by hand, extend the kneading time by 5 to 10 minutes. Coat a large mixing bowl with cooking oil spray or butter then transfer the dough into the bowl. Cover with plastic wrap then set aside in a warm place to rise until it doubles in size, about 1 1/2 to 2 hours.
Once the dough has doubled in size, punch it down and flatten it out, making sure all air bubbles are gone. Cut it into 8 equal pieces - I recommend weighing each piece out with a scale for more accuracy.
Take each piece of dough and flatten it out again to remove any remaining air bubbles. Using your fingers, pinch the edges around the dough together and form it into a ball. The top of the ball should be as smooth as possible. Repeat for the remaining pieces. Transfer to a lined baking sheet with parchment paper. Cover with plastic wrap and set aside to proof for 30 minutes to 1 hour, or until double in size.
In a heavy-duty pot, heat oil to 340F (170C). To ensure the dough stays in shape, cut the parchment paper around the dough into a square. Then pick up the parchment paper with the dough on top and carefully place it into the hot oil. The parchment paper will slowly detach, at which point you can remove it from the oil. Work in batches to avoid overcrowding the pot.
Fry for 2 minutes on each side, making sure you keep an eye on the temperature. It may not seem like the donut is frying but that's ok! It will slowly take on color while ensuring the inside is thoroughly cooked.
Remove the donut and let it rest on a wire rack to cool completely. Repeat until all donuts are cooked.
