To make the dough, warm up the milk (just warm to the touch, not hot), add the yeast, a teaspoon of sugar and a teaspoon of flour, and mix well.
Set aside for 10 minutes until it becomes frothy.
In a large bowl, sift the flour, add the egg, yeast mixture, remaining sugar and melted butter.
Knead well into a dough that is elastic and it does not stick to the hands - add more flour if necessary.
Cover the bowl of dough with clingfilm and a clean tea towel, and leave to prove in a warm place for 1-2 hours or until it's double in size.
Use a rolling pin to roll the dough into a rectangle, then spread the butter over, and sprinkle the mixed sugar and cinnamon.
Roll the dough into a sausage, rolling it from bottom up, then use a sharp knife to cut it into 12 rolls.
Line a baking tray with non-stick paper, then arrange the rolls making sure there is some gap between them.
Cover the tray with a tea towel, and leave to prove again for maximum an hour, until the rolls have risen further and the gap between them is closed.
Bake in the preheated oven at 180 degrees Celsius (350 Fahrenheit) for 20 minutes.
Remove from the oven and leave to cool down.
To make the icing, add the sifted icing sugar and butter to a food processor together with the milk and vanilla extract.
Mix until well combined, then add the cream cheese and mix again until really smooth.
Spread the icing all over the rolls, then serve.