In a bowl, combine warm milk and yeast; let it sit for 5 minutes until frothy.

In a large bowl, mix together flour, sugar, and salt. Add melted butter, egg, and the yeast mixture; mix until a soft dough forms.

Knead the dough on a floured surface until it becomes smooth and elastic.

Place the dough in a greased bowl, cover it, and let it rise in a warm place for about 1 hour or until doubled in size.

Roll out the dough into a rectangle. Spread it with softened butter, then sprinkle cinnamon and chopped walnuts evenly over the surface. Roll the dough tightly into a log.

Cut the rolled dough into slices and place them in a greased baking dish.

Let the rolls rise again for about 30 minutes.

Preheat the oven to 350°F (175°C).

Bake the rolls for 20-25 minutes or until golden brown.

For the cream cheese frosting, mix cream cheese, powdered sugar, and vanilla until smooth and creamy.

Frost the rolls after they are baked and serve warm.