In a bowl place the flour, yeast, salt and sugar. Add the water, egg, milk and butter and mix lightly with a spatula until it doesn't help you anymore.
Now you have two options: you can finish mixing by hand or with a stand mixer with the dough hook attached. If you mix by hand you need to then knead for 20 minutes or until the dough passes a window test. The test consists in taking a bit of the dough and carefully stretching it to form a window. If a thin membrane forms where you can see the light at the other side without breaking then you're good to go. If not, you have to keep kneading a bit more. If you use a stand mixer mix on high speed for 10 minutes or until it passes the window test.
Cover the dough with a thin layer of vegetable oil to prevent it from drying and place it in a bowl. Cover it with a kitchen cloth and let it proof for one hour or until it has doubled in size. It's best to proof in a warm place like inside your oven with only the light on, for example.
Dust a surface with flour and place the dough on top. Also dust some extra flour on the dough. Roll it out until it's 5mm thick.
Use cookie cutters to make a large circle and then a smaller one in the center. Optimize the use of the dough as much as you can because the donuts resulting from when you re-stretch the scraps won't turn out as nice.
Let them proof on the surface covered with a kitchen cloth for 45min.
Pour enough vegetable oil in a pot so that it's 4 fingers high. Heat it up to 180C or medium heat.
Once nice and hot place a donut inside. It's going to float and we want to cook it for 1-2min per side or until golden.
Remove the donut and place it onto a tray with kitchen paper to absorb the extra oil. Repeat this process with all the donuts.
Wait for them to cool down completely before advancing to the glaze or it will melt.
Sieve the icing sugar into a bowl.
Add the milk little by little while whisking. We want to have a consistency that's thick enough to cover the donuts but at the same time we want it to slide off a bit to get a thin layer in the end.
Cover the donuts completely in the glaze.
Let the excess of glaze drip off by placing the donuts on a cooling rack. What I did was to place the cooling rack on top of the tray with the kitchen paper from before so then I only have to wash one tray ;).
As soon as they dry out they will be ready to eat.
*If you're using dry or fresh yeast you first need to mix it with the lukewarm water and sugar in a bowl. After 10min check if you see bubbles / foam forming. If there are bubbles or foam then you can go ahead and mix everything together. If not, you're going to have to buy new yeast.