Lightly grease a large mixing bowl with oil and set it aside.
In a microwave-safe bowl, heat the milk in the microwave on high for about 30 to 40 seconds. Use a thermometer to check the temperature of the milk. It should be somewhere around 105ºF to 120ºF. If the milk isn’t hot enough yet, heat it again for 5 to 10 seconds. If the milk is too hot, quickly whisk the milk and let it cool for several minutes. If you don’t have a thermometer, use your fingers to test the temperature. The milk should feel very warm but not scalding hot either.
Add the sugar and yeast to the milk. Stir to hydrate the yeast. Let it sit for 5 to 8 minutes while you prepare the other ingredients. After 5 to 8 minutes, you should see a layer of foam on the top, at least 1/4 inch thick (an indication that the yeast is active).
In the bowl of a stand mixer, add the flour, tangzhong, milk/yeast mixture, instant milk powder, salt, melted butter, and egg.
Fit the mixer with the dough hook. Mix the dough on low until you don’t see any loose flour on the sides of the bowl. This should take 30 seconds to 1 minute.
Then, increase the speed to medium-low and work the dough for 8 minutes. You may need to scrape down the sides of the bowl occasionally.
Scrape the dough out of the bowl onto a lightly floured surface and knead a few times. If the dough is feeling tacky, lightly sprinkle flour over the dough and knead a few times.
Shape the dough into a ball and place inside the greased mixing bowl. Cover the bowl with a damp towel (or a silicone lid) and let it rise in a warm place for about 1 hour, until the dough doubles in size.