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.
In the bowl of an electric mixer fitted with the hook attachments, combine flour, remaining 3 tbsp of sugar, and salt. Begin mixing on low speed, pouring in the milk mixture, followed by the butter, and then lastly the egg. Mix on medium speed until a dough starts to form.
Knead the dough on medium speed for 5-6 minutes, or until 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 dough to a large, greased bowl. Cover and let rise in a warm spot for 1 hr, or until doubled in size.