In a large bowl combine yeast and 3 tablespoons warm water; let mixture stand 5 minutes.
Heat milk in a small saucepan over medium heat (do not boil). Once small bubbles begin to form on sides of pan, stir in sugar, butter, and salt. Stir until butter is melted. Remove from heat and cool.
To yeast add milk, egg and 2 cups of flour. Stir with wooden spoon. Dough will be very sticky. Gradually stir in enough remaining flour to form a soft dough.
Turn dough out onto a floured surface; knead 8 to 10 minutes or until dough is smooth.
Place in a greased bowl, turning to dough to coat. Cover and let rise in a warm place 1 hour or until doubled in size.
Punch dough down and turn it out onto a floured surface.
Roll dough into a large rectangle about 1/4 in thickness; cut strips to form 2-inch squares. Place on a floured surface; cover and let rise in a warm place, free from drafts, 30 minutes or until doubled in size.
Preheat oven to 400 F.
Coat baking tray with cooking spray. Place dough 2 inches apart on to tray.
Bake 7-10 minutes. Sprinkle with powdered sugar while still warm.