Dissolve dry yeast and warm water in a large bowl. Add milk, shortening, sugar, salt, egg and 3 cups of flour. Beat until smooth. Stir in remaining flour, enough to form a soft dough.
On a lightly floured surface, knead dough for 6-8 minutes until smooth and elastic. Place in a greased bowl, turning to grease all sides. Cover dough and let rise in a warm place until doubled in size. Should take about 1 hour.
Meanwhile, in a small bowl, combine all filling ingredients; set aside until ready to use.
Punch dough down and roll into long rectangle. Spread your filling and roll up, starting with a long end. Cut into even pieces, about 12-14.
Place cut side down onto a greased 10x15 inch baking pan. Cover and let rise until doubled in size, about 45 minutes. Bake for 20-25 minutes at 375°. Always check during baking. Rolls should be light golden brown.
Combine the powdered sugar, butter, and extract in a small bowl. Add enough milk to achieve desired consistency; spread one while rolls are warm.