1. In a large mixing bowl, combine the warm water and yeast. Let it sit for about 5 minutes until it becomes frothy.
2. Add the milk, melted butter, beaten eggs, sugar, salt, and vanilla extract to the yeast mixture. Mix well.
3. Gradually add the flour, one cup at a time, mixing well after each addition. Knead the dough until it is smooth and elastic.
4. Place the dough in a greased bowl, cover it with a damp cloth, and let it rise in a warm place for about 1 hour or until it has doubled in size.
5. Preheat your oven to 375°F (190°C). Punch down the dough and shape it into a ring on a greased baking sheet. If using, insert the plastic baby figurine into the dough.
6. Bake for 25-30 minutes or until the cake is golden brown. Allow it to cool before serving.
Notes:
King Cake is often decorated with colored sugar or icing in the traditional Mardi Gras colors of purple, green, and gold.