Warm up the milk, then add it to a jug together with the yeast.
Mix well, and set aside for 1 minute.
In a large mixing bowl, sift the flour, add the sugar, soften butter and one egg, and pour in the yeast mixture.
Knead it well into a dough that is elastic and does not stick to your hands - add more flour is necessary.
Cover the bowl with a clean kitchen towel, and set aside to prove in a warm room for 2 hours or until the dough doubles its volume.
Divide the dough into 4.
Roll one ball using a rolling pin, and spread one teaspoon of nutella over.
Shape it back into a ball, making sure the stuffing is sealed well.
Using a string to shape it into a pumpkin.
Repeat with the remaining 3 dough balls.
Beat the remaining egg well, and brush each bun well.
Bake in the preheated oven at 200 degrees Celsius (390 Fahrenheit) for 15 minutes or until golden and well risen.
Remove the string and leave the buns to cool down completely.