Heat milk just to boiling point and then cool.
Dissolve yeast in warm water and cool.
Cream 1 stick margarine with sugar and salt. Add eggs. Beat well. Stir in milk and yeast mixture. Mixture will have a curdled appearance until flour is added. Add flour half at a time. Mix just enough to moisten flour and form a soft dough.
Turn dough onto a lightly floured pastry cloth or board. Turn dough to lightly coat with flour. Pat down to about a 10-inch square. Fold all 4 sides to center, turn dough over and pat down into about an 8-inch square. Do not knead. Wrap dough loosely in waxed paper and place in refrigerator for 10-15 minutes. This relaxes dough and chills it slightly.
While dough chills, cut 3 sticks margarine into 18-20 thin pats each. Spread out on waxed paper and let stand 10-15 minutes. Margarine slices more easily if taken directly from refrigerator.
For Rolling and Folding, place chilled dough on lightly floured pastry cloth or board. Roll into a rectangle about 10x15". Keep corners as square as possible throughout process. Place half of thin margarine pats side by side on the center third of the dough about 5x10". Fold one side of the dough over margarine. Press edges together. Place remaining margarine pats over top of folded portion. Fold the other third of the dough over top. Press edges together firmly to seal. Turn dough 1/4 turn. Roll into rectangle about 12x20". Fold again into thirds and press together. The rolling should be smooth and even in order to form unbroken alternate layers of margarine and dough. Let stand 5-10 minutes. Repeat this step twice. If kitchen is hot, chill dough as it rests between each rolling.
Turn dough 1/4 turn and roll into a rectangle about 10x15". Cut into 3 sections 5x10" each (or 4 sections for smaller coffee cakes). Wrap in waxed paper. Chill in refrigerator for at least 1 hour or overnight, if desired. While dough is chilling, prepare egg white glaze, powdered sugar frosting and desired filling.
To Form Coffee Cake, roll each section of chilled dough into a rectangle about 8x12". Spread generous amount of prepared filling over center third of dough (a section 4x8") leaving 1/2" strip free along both edges. Cut 1/2" strips, diagonally, along both sides. Dampen ends of cut strips with water. Fold strips over filling, taking one from each side at a time. Press down to seal well. Press to seal dough at ends of coffee cake. Place on baking sheet. Brush with Egg White Glaze. Let rise for 1 hour. Bake in a moderate oven (375°) for 25 minutes or until lightly browned. Cool slightly and brush with Powdered Sugar Frosting. Cool on rack.
For Egg White Glaze, mix 1 egg white and 2 Tbsp. water with fork. Brush over top of coffee cake just after shaping.
For Powdered Sugar Frosting, beat powdered sugar, vanilla and water until smooth. Brush over surface of slightly cooled coffee cakes.
NOTE: Always use cool ingredients.