Preheat oven to 350 degrees F.
In a small bowl, dissolve yeast in warm water and set aside.
In a large bowl mix milk, sugar, butter, salt and egg. Add the yeast mixture and the flour.
Knead dough on a floured surface for a few minutes.
Place in a greased bowl, cover with plastic wrap and leave for 1-1/2 hours.
Roll it out on a floured surface to a 10x15 rectangle.
Mix together butter, cinnamon and sugar and spread the mixture on the dough.
Roll dough into a long sausage shape. Cut 20 slices. Place each slice in a greased mini-muffin cupcake pan and bake for 8 minutes. Cool on wire rack
For icing, mix powdered sugar and water. Drizzle on each pinwheel.