Preheat oven to 350 degrees. Grease a donut pan and set aside.
With a mixer, cream butter until light and fluffy, about 1-2 minutes. Add in sugar and beat until well combined and white in color. Add in the egg, and beat until combined.
In a separate bowl, sift together flour, baking powder, and salt. Set aside.
In a separate bowl, mix together milk and vanilla extract.
Alternately stir the flour mixture and milk mixture into the butter mixture, beginning and ending with the flour mixture.
Once just combined (be careful not to overmix), scoop batter into a piping bag and fill each donut cavity about 3/4 of the way full.
Bake for 10-12 minutes, or until an inserted toothpick comes out clean.