Turn on your faucet and get your water as hot as you can. Fill a measuring cup with ¼ cup water and stir in yeast. Let rest for a few minutes. The yeast should start to look frothy in the water.
Transfer yeast/water mixture to a mixing bowl, along with the milk, butter, egg, salt, and sugar. Stir to combine.
If using a stand mixer, attach the dough hook. If you're mixing by hand, you can start with a spoon, but you will eventually need to mix by hand. This dough gets really sticky, so you'll wand to coat your hands with some flour.
Gradually add flour and mix until everything is well-incorporated. If using the stand mixer, continue to mix for about another minute or two. If you mixed by hand, knead the dough for a couple of minutes.
If you're using the dough to make rolls, transfer it to a greased bowl, cover, and let sit in a warm place to rise for about an hour. If you'll be using it for a crust (pizza, pot pie, quiche, stromboli, etc.), wrap it loosely in plastic wrap and transfer to the fridge until you're ready to use it. It'll be good for several days in the fridge.