In a medium sized bowl, combine the flour, baking powder, sugar, and salt. Cut in the shortening until it resembles course crumbs. Beat the egg with milk, and stir into dry ingredients just until moistened.
Turn out onto a well floured surface, and knead 20 times. Trust me...just do it! Roll to 3/4 inch thickness; Cut with a 2 1/2 in. biscuit cutter. Place on a lightly greased baking sheet. Bake at 450 degrees F for 8-10 minutes or until golden brown.