Put sugar in a bowl and whisk in milk and vanilla extract until mixture is smooth. You can add more or less milk or sugar to get the consistency you want. When I add the vanilla extract, I usually use the clear vanilla extract to keep from darkening the glaze.

You can sift the powdered sugar if you want. I don't usually do this. I just make sure it is mixed well and smooth with no lumps. I use a pitcher to drizzle the glaze over my baked goods because I think it works better than just pouring. This makes about 1 cup of glaze.