In a small bowl, dissolve yeast in warm water and set aside.
In a large bowl combine milk, sugar, melted butter, salt, and egg. Add 2 cups of flour and mix until smooth. Add yeast mixture. Mix in remaining flour until dough is easy to handle.
Knead dough on lightly floured surface for 5 to 10 minutes. Place in well-greased bowl, cover, and let rise until doubled in size, usually between 1 to 1 1/2 hours.
Knead doubled dough. Roll dough out on a floured surface into a 15 by 9-inch rectangle. Generously spread melted butter over dough. Mix sugar and cinnamon and sprinkle over buttered dough, covering the entire rectangle. Beginning at the 15-inch side, roll up dough and pinch the ends together to create a seal. Cut into 12 slices.
Coat the bottom and sides of a baking pan with butter. Place cinnamon roll slices close together in the pan and let dough rise. Bake for about 40 minutes or until nicely browned.
In another bowl, mix butter, powdered sugar, and vanilla. Add hot water 1 tablespoon at a time until the glaze reaches desired consistency. Spread over warm rolls.