In a large bowl, whisk together the warm water and yeast. Whisk in the sugar and allow the yeast too foam slighty by letting it sit alone for 5 minutes, or so.
Stir in the dry milk, salt, and egg. Slowly start stirring in the flour, cup by cup, until a thick, sticky dough is formed. Don't add too much! You want it sticky and pliable, not overly floury. Turn the dough out onto a floured surface, sprinkle a thin layer of flour on top, and knead the bread until it becomes a little less sticky and slightly elastic.
Now begin to knead the butter into the dough. It should make the dough very soft and greasy enough so the dough no longer needs any flour.
Once the butter has been kneaded through, and the dough is elastic, set it in a lightly greased bowl, cover it with a slightly damp, clean cloth, and allow to rise for about 1 hour.
Use your hands to spread the butter in a nice, thick layer across the surface of the dough. Sprinkle a generous layer of white sugar on top of the butter. (You can use brown sugar, too. But I love the white-sugar-taffy that pools in the bottom of a pan when making it this way.)
Now for the IMPORTANT step. Sprinkle a GOOD layer of cinnamon on top of the sugar. Too much and you'll clear out the sinuses of everyone eating. Too little, however, and you're cinnamon rolls won't be nearly as delicious as they could be. Don't be stingy with the cinnamon. If you're feeling really daring, drizzle a second layer of 3-4 tablespoons of melted butter over the cinnamon & sugar layer.)
Roll the cinnamon rolls up tightly, pinching the top edge closed to keep the cinnamon rolls closed while baking. Slice into 2" rolls with a knife and place on a lightly greased cookie sheet. Allow to rise for another 25-30 minutes before baking.Bake in an oven preheated to 375 degrees for 18-22 minutes, or just until the edges of the rolls have browned slightly. Remove from oven, allowing to cool for 20-30 minutes before frosting and serving.