1. Place the water, milk, egg, butter, sugar, salt, flour and yeast into the bread machine pan in order stated (starting with water and ending with the yeast).
2. Select dough cycle, then press start.
3. Since all bread machines are different the water or flour amounts will need to be adjusted slightly to your bread machine to create a soft smooth semi-sticky dough, so make certain to check after about 5 minutes of kneading time and adjust water or flour amounts.
4. When the dough cycle has finished (including the rising time) remove and place dough on a lightly floured work surface.
5. Divide into sections; let the sections rest for 5 minutes (important, the dough MUST rest for 5 minutes) then shape as desired.
6. Place the shaped dough onto a greased baking sheet; cover with a light clean towel.
7. Let rise in a warm place for about 1-1/2 hours or until doubled in size (due to the addition of an egg rising time will be longer).
8. Bake in a 375°F oven for about 20-25 minutes or until until browned.