Start by dissolving the active dry yeast in the warm water. Make sure the water is between 105°F and 115°F to properly activate the yeast. Let it sit for about five minutes until it's foamy. This step is essential for a good rise.
In a large bowl, combine the warm milk, shortening, sugar, salt, and beaten egg. Mix well. The shortening will melt into the warm milk, creating a rich mixture.
Add the foamy yeast mixture to the bowl and stir to combine. Gradually add in the all-purpose flour, starting with 3 cups. Mix until the dough starts to pull away from the sides of the bowl.
On a lightly floured surface, knead the dough for about 6 to 8 minutes until it’s smooth and elastic. You’ll want the dough to be soft, not sticky. If it’s too sticky, add a bit more flour, but be careful not to overdo it.
Place the kneaded dough in a greased bowl, turning it to coat all sides with oil. Cover it with a clean cloth and let it rise in a warm place until it has doubled in size, which should take about one hour. This is where the magic begins!
While the dough is rising, prepare your filling by mixing together the butter, orange zest, and sugar in a small bowl. Set it aside for later.
Once the dough has risen, punch it down gently to release the air. On a lightly floured surface, roll it out into a large rectangle. Spread the orange filling evenly over the dough, leaving a small margin around the edges.
Starting at one long end, carefully roll the dough into a log. Make sure it’s tight but not too tight to prevent the filling from spilling out. Once rolled, cut the log into equal pieces, about 12 to 14 rolls.
Place the cut rolls into a greased 10×15 inch baking pan, cut side down. Cover them again and let rise until doubled in size, about 45 minutes. This second rise is crucial for fluffy rolls.
Preheat your oven to 375°F. When the rolls are ready, bake them for 20 to 25 minutes until they are lightly golden brown. Always check during baking to ensure they don’t overcook.
While the rolls are baking, make your frosting. In a medium bowl, cream together the softened cream cheese and butter until smooth. Add in the powdered sugar, orange juice, and a touch of milk if needed to achieve a smooth consistency.
As soon as the rolls come out of the oven and are still warm, frost them generously with the cream cheese frosting. Sprinkle additional orange zest on top for an extra burst of flavor. Serve them warm and watch them disappear!