Combine the flour, baking powder, and salt together in a large bowl. In a small bowl, whisk together the egg and the milk. Combine the milk mixture with the flour mixture, stirring just until well blended.
In a medium, heavy-bottomed saucepan, add enough oil to come 1/3 of the way up the sides of the pan, or about 1 1/2 inches deep. Heat oil to 360 degrees F. Dip cookies in batter and carefully place in hot oil. Fry until batter is golden, about 2 minutes. Turn cookies and fry for 1 more minute. Remove and place cookies on a paper towel-lined plate. Dust with confectioners' sugar and serve immediately.
Yield: about 20 fried cookies