Preheat oven to 375 degrees. Line two baking sheets with parchment paper or coat with baking spray.
With the mixer set at medium speed, cream together butter and sugar; add eggs and vanilla.
In a separate bowl, sift together flour, baking powder, and salt. Stir into butter mixture.
Pinch off a ball of dough about the size of a small meatball. Shape the dough into small logs.
Pour milk in small bowl and sesame seeds on a small plate or wax paper. Dip dough in milk then sesame seeds. Place dough on cookie sheet about 1 inch apart. Slightly flatten the top of each cookie with fingers.
Bake at 375 degrees for 20-25 minutes or until cookies are slightly golden. Cool on cookie sheet for 5 minutes then transfer to cooling rack; cool completely. Store cookies in an airtight container.