Preheat oven to 350 degrees. Cover a baking sheet with parchment paper.
In a bowl, mix together eggs, milk, oil and anise extract. Add sugar, flour and baking powder gradually. The dough will be sticky. Flour your hands and start to roll into balls the size of walnuts. Place on prepared pan and bake for 10 to 15 minutes. Remove from pans and cool completely on wire racks.
To make icing, in a bowl, mix powdered sugar, vanilla and enough milk to make a spreadable icing. (Start with a just few tablespoons at a time, so that icing doesn't become too thin.) Ice each cookie and sprinkle with multi-colored sprinkles. Makes 6 dozen cookies. Enjoy!