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 degrees F. Always check during baking. Rolls should be light golden brown.
While the rolls are baking, make frosting in a medium bowl by creaming together the softened cream cheese and butter until smooth. Add the powdered sugar, orange juice, milk and orange zest and mix until smooth.
Frost rolls while they are still slightly warm and sprinkle on orange zest. Serve warm.