MAKE THE DOUGH
In a large mixing bowl, combine the warm milk and active dry yeast. Whisk together until the yeast is dissolved. Allow it to sit for about 5-10 minutes until it becomes frothy.
To the yeast mixture, add the granulated white sugar, salt, eggs, softened unsalted butter, and vanilla extract. Mix well until all the ingredients are combined.
Gradually add the all-purpose flour to the mixture, stirring continuously until a dough forms. It will be very soft and a bit sticky.
Knead the dough for about 3 to 4 minutes until it becomes smooth and elastic. You can use your hand, a wooden spatula, or a stand mixer with the hook attachment.
Place the kneaded dough into a lightly greased bowl, cover it with plastic wrap and a clean kitchen towel, and let it rise in a warm place for about 1 to 1 1/2 hours, or until it doubles in size.
SHAPE THE DONUTS
Once the dough has risen, punch it down to release the air. Transfer it to a clean and floured surface.
Roll out the dough to about 1/2 inch thickness into a large square. Use a pizza cutter to cut squares about the size of 2.5 by 2.5 inches.
Cover them with a clean kitchen towel and let them rise again but this time only for about 15 to 20 minutes, just while the oil heats up.
FRY THE DONUTS
In a deep pot or fryer pan, heat vegetable oil to 350°F (175°C).
Carefully add a few donuts to the hot oil, making sure not to overcrowd the pot. Fry for about 1-2 minutes on each side, or until they turn golden brown.
Once fried, remove the donuts from the oil using a slotted spoon and place them on a wire rack to drain any excess oil.
Repeat the frying process with the remaining donuts.
Once all the donuts are fried and cooled slightly, dust them very generously with powdered sugar to enjoy warm.