Peel the onion and cut it into 1/3 inch slices and separate into rings. Place onion rings in a bowl with the milk and let soak for about thirty minutes.

Combine the flour with the salt, pepper, paprika and cayenne. Heat the vegetable oil to 375° F. Dredge the onion rings a few at a time in the flour mixture and carefully drop into the hot oil. A pair of tongs is useful for transferring the rings from the flour to the oil. Fry until golden brown on both sides, about 2 minutes, turning the rings over as necessary. Drain on paper towels, and serve immediately.