In a mixer combine water and dry milk until dissolved. Add yeast, sugar, salt, butter, egg and 2 cups flour. Mix on low until ingredients are wet, then for 2 minutes on medium speed. Add 2 more cups flour and mix on low 'til ingredients are wet and 2 minutes on medium speed. Add remaining flour. Once combined, kneed with hands, or turn on kneading hook on mixer. Knead until dough starts pulling away from bowl, or for about 10 minutes.
Place dough in an oiled bowl and turn to coat with oil. Cover w/plastic and let rise in a warm place until double in size.
Place dough on floured surface. Roll out to a rectangle. After you roll out your dough brush it with your melted butter and orange zest mixture, then sprinkle with sugar.
Fold your giant rectangle in half, and then using a pizza cutter or kitchen shears and cut into one inch strips. Gently twist your strips into a knot and place on a lightly greased baking sheet. They do not need to be perfect. If roll seems to loose just kind of bunch it together or tuck in loose ends.
Bake at 375 for 12-15 minutes.
When rolls come out of the oven brush immediately with butter and allow to cool for 10-15 minutes. Finally, drizzle your rolls with your orange icing mixture and devour a few while they are fresh!
If you don't have heavy cream or half and half, you can substitute regular milk for the icing. The higher the fat content, the creamier the icing will be (so 2% will work better than skim milk).
After zesting my oranges, I save them to squeeze out the 2 TBSP of fresh orange juice needed for the icing.
Rolls may be made the night before. Just stick them in the fridge after assembly, then let them warm to room temperature before baking.
Orange Rolls can be stored for 5-7 days, but I guarantee they won't last that long.