In a saucepan, heat the butter to a boil. Put in the fridge and leave overnight. The next day, discard the liquid and keep the solids.
Beat the solid butter with the sugar until light and fluffy. Beat three of the eggs together and add to the butter mixture. Stir in the vanilla.
Sift the flour and baking powder together and stir into the batter alternately with the Cognac. Mix well with a wooden spoon. Divide the dough into 4 batches, wrap in plastic wrap and chill about 1 hour.
Preheat the oven to 150 degrees C.
Pinch of pieces of dough and roll into sausages about 10cm long. Form into a ring and pinch the ends together. Beat the remaining egg and milk together and use to brush the biscuits. Bake 30 minutes or until golden brown.