In a large bowl or stand mixer, add butter and sugar and beat until the mixture is light colored and well blended. Add the eggs one at a time and blend well. Add the milk, zest and juice.
In a separate bowl combine 5 cups of the flour, baking powder and salt. On medium speed or by hand, add the flour gradually and blend well. Mixture should be tacky; only add additional flour if the dough is not starting to come away from the sides of the bowl.
Scrape the dough into a large bowl. Cover and refrigerate overnight.
When ready to use, flour a work surface and turn the dough out and knead it into a ball of dough that is not sticky.
Divide the dough into 16 equal size pieces and roll each piece into a long rope about 10 inches long and the thickness of your middle finger. Cross the two ends over each other, leaving a hole in the center. Place an egg in the hole.
Transfer the nests to parchment lined baking sheets and bake the nests in preheated 350F oven for 20-25 minutes or until they are golden brown.
Transfer to a cooling rack.
Make the icing.
In a bowl, combine 2 cups Confectioners sugar with the vanilla extract and just enough milk to make a glaze.
Frost the nests and add colored sprinkles; let the nest dry completely.
Note: these can also be shaped as round braids, using two pieces of the dough and making a braid. Add egg to the center or leave without egg.