First, get a bowl and put 1/4 cup warm water in it. I used to think water needed to be quite hot to raise yeast, but this is not the case. If in doubt, err on the side of baby bath water rather than a hot shower as far as temperature goes.
Now just let that sit while you heat up the milk and butter. I put mine in a bowl and stuck it in the microwave for one minute and thirty seconds. This is what it looked like after coming out of the microwave:
Put your flour, sugar, and salt in a mixing bowl (I used my Kitchen Aid) and then pour in the slightly cooled butter/milk mixture. (If your butter/milk mixture is still really hot, just take a break and do some Pinteresting or something).
Mix that all up. Then add your egg.
Now add your yeast that you have been proofing. Mine didn’t get super bubbly, but that is o.k. As long as you can see that there has been some action in your yeast bowl, things will work out just fine. This is what mine looked like before I added it to the dough: