In a stand mixer or large bowl, mix together the flour, sugar, salt and instant yeast.
In a small bowl, combine the milk, melted butter and vanilla.
Add the wet ingredients to the dry ingredients and mix thoroughly.
Using a dough hook in your stand mixer, knead dough for about 8 minutes or until smooth and elastic. The dough should not break when stretched thin. (alternately, hand knead for about 15 minutes.
Put dough in a greased bowl, turn it around so all sides of dough are greased.
Cover bowl with plastic wrap and place in a warm spot (I use a cold oven with the light on) until dough doubles in size (about 2 hours)
Punch dough down and turn out onto your counter. Cut dough into 8 equally sized portions.
Roll each portion into a ball.
With a rolling pin, roll out each ball into a long rectangle, about 5 inches wide. Get it as thin as you can.
Butter the rectangle. (This will help keep your layers separate.)
Roll the rectangle into a jelly roll, starting at the short end, to make a short, thick roll.
With a very sharp knife, cut the roll lengthwise.
Roll each piece like a snail (this is called a knot)
Place into a greased muffin tin and allow to rise for another 30 minutes
Bake at 350 for approximately 35 minutes or until golden brown and cooked through.
Cool on a wire rack.
When completely cooled, cut center out with a cupcake corer or a sharp knife and fill with jam or Nutella (I make hole about 1/2 way through the cupcake).
Sprinkle with powdered sugar. Enjoy!