Bring milk to a boil; add grits gradually, stirring constantly to keep from lumping. Cook until thickened, stirring constantly. Add butter, stir until it melts. Add salt and beaten egg. Pour into well greased 9-inch skillet. Bake in a preheated 400° oven until top is browned and bread rises a bit. It should look a bit like cornbread. Cut into wedges to serve.