In a food processor, mix 1 cup of the flour, yeast, and frozen butter until the butter is fully integrated into the flour.
Transfer the flour mixture to a mixing bowl.
Add the rest of the flour, salt, and sugar and mix to combine.
Mix the milk with melted butter. The temperature of the mixture should be warm, but not too hot that you can't touch it.
Add the milk, butter, and egg to the flour mixture and either knead using a stand mixer with a dough hook attachment for six minutes or knead by hand until you can form the dough into a smooth ball.
The dough will be VERY soft. It is nothing like bread dough. Don't worry, you haven't done anything wrong and you should not add more flour.
Place the dough in a covered, lightly oiled bowl and let it sit in a warm place until doubled in size. I turn my oven on to 170 F, wait for it to heat up, then turn the heat off and keep the bowl in there.