Start by activating the yeast. Warm the milk in the microwave to 110°F, or just warm to the touch. Stir in one tablespoon of the sugar until it is dissolved. Sprinkle the yeast on top and gently stir it in. Let it rest for 5-10 minutes, or until you see a layer of foam on top. If this does not happen, then start over.
While the yeast is activating, combine the flour, remaining 3 tbsp of sugar, salt, and orange zest in the bowl of a mixer fitted with the hook attachment.
While running your mixer on low speed, start streaming in the yeast/milk mixture, then add the butter, one piece at a time, and then lastly the egg. Turn the mixer up to medium speed and knead until a dough starts to come together.
After that, continue kneading the dough for around 5 minutes until it is smooth. The dough will be very sticky at first, but become more less so as the gluten builds up. Add 1-2 more tbsp of flour only if needed. Your dough will be ready when it pulls cleanly from the sides of the bowl, but will stick a little at the bottom (there may also be a few dough bits that stuck to the sides of the bowl at the beginning that are still there). The final dough will be tacky but manageable.
Transfer the dough to a large, greased bowl. Cover, and let rise in a warm spot for 1 hr, or until doubled in size.