Beat egg in a medium mixing bowl until light and frothy; add milk, mixing well. Combine flour, sugar, baking powder, and salt in a small mixing bowl; stir well. Sift dry ingredients together; add to egg mixture, beating well. Stir in melted shortening.
Drop mixture by tablespoonfuls into deep hot oil (375°). Fry until puffs are golden brown, turning once. Drain on paper towels. Serve hot.