In a mixing bowl, beat eggs and sugar; stir in milk and vanilla.
Combine flour and salt; add to batter and beat until smooth.
Heat 3 inches of oil to 365 F in a pan or deep fryer.
Place rosette iron in hot oil, drain, then dip in batter, three-fourths up on sides of iron (do not let batter run over top of iron). Immediately place into hot oil; loosen rosette with fork and remove iron. Fry 1 to 2 minutes per side or until golden. Remove to a wire rack covered with paper towel. Repeat with remaining batter, being sure to reheat rosette iron each time.
Sprinkle cooled cookies with powdered sugar and store in a tightly sealed container.