Begin by making your dough. In a small bowl, mix together the yeast and warm water. (This mixture should bubble. That's how you know the yeast is active.) In the meantime, in a bowl of a stand mixer equipped with a dough hook, combine the flour, sugar, and salt. Then add the warmed milk, melted butter and proofed yeast. Knead with the dough hook until smooth. Add more flour if the dough is feeling too sticky. Remove the dough and place it in a lightly oiled bowl. Cover with plastic wrap, then a towel, and let it rise until it's doubled in size (about an hour).
Grease a 12-inch skillet and set aside.
For the coating: in a small bowl, combine the melted butter and and vanilla. In another small bowl, mix together the brown sugar and cinnamon. Next, divide the dough into two pieces and roll each piece into a rope about 3 feet long. Place the dough on a piece of parchment paper. Liberally brush with the melted butter and vanilla mixture, making sure to cover all sides of the dough. Once buttered, coat all sides of the dough with the brown sugar and cinnamon mixture.
Then, pinch the ends of the ropes together and twist them together. Pinch the other ends once twisted.
Starting in the center of your skillet, place the twisted dough inside and wind it around. If you have any extra butter from the brushing, drizzle it over the dough. Cover the skillet with plastic wrap and let the dough rise until doubled in size (about an hour).
In the meantime, prepare the streusel topping. Combine the brown sugar and cinnamon in a small bowl. Then, using a fork or pastry cutter, cut in the cold butter. Set aside.
Preheat your oven to 350 degrees F. Once the dough is doubled, sprinkle with the streusel topping and bake for 40-45 minutes. If you notice that your bread is getting too dark, lightly cover it with a piece of aluminum foil. Remove from oven and allow to cool slightly.
Prepare the glaze by whisking together the confectioner's sugar, milk, melted butter, vanilla, and salt. Stir until smooth, adding more milk if necessary to achieve the desired consistency. Pour evenly over slightly cooled bread.