Using a countertop mixer fitted with the dough hook attachment, add the flour, sugar, yeast, salt, cinnamon, and egg to the bowl.

In a separate bowl, mix together the warm milk and melted butter; stir until well combined and add to bowl. Mix for 2 minutes on low speed. Increase speed to medium and continue mixing for 5-6 minutes.

Transfer dough to an oiled bowl; cover and place bowl in a warm (~80 degrees) location for approximately 2 hours, or until dough has doubled in size.

Turn the dough out onto a lightly-floured countertop and roll into a 36" by 8" rectangle.

Spread the Cinnamon Cream Cheese Filling evenly across the dough, leaving a 1” border around the outside.

Starting with a long edge, roll the dough into a 36" log.

Pinch the seam together to seal the dough. (Tip: Use a small amount of water on the edges to help seal the dough together.)

Attach the two ends of the dough together to create a large oval shaped ring. Seal that seam similar to the way you sealed the long seam above. (Tip: The king cake will expand as it bakes, so make the center ring larger than you might think!)

Cover dough loosely and place in a warm location for approximately 2 more hours, or until dough has doubled in size again.

Bake at 350°F for 20-25 minutes, or until top of cake is golden brown in color.

Allow cake to cool and then frost with green, purple, and yellow Icing.

Using a hand-mixer or a countertop mixer with the paddle attachment, cream together the cream cheese, sugar, egg, vanilla, cinnamon, and flour. Mix until smooth.

Using 3 medium-sized bowls, measure 1 cup of powdered sugar into each.

Add 1.5 tablespoons of milk and 1/2 tsp of vanilla to each bowl; stir until well mixed.

Add several drops of food coloring to each bowl to create the traditional purple, green, and yellow colors.