Pour 2-inches of oil in a deep skillet. Carefully heat to medium-high.
In a small bowl, combine milk and egg until well blended.
Place cheese curds in the milk and egg mixture.
Pour Zatarains Wonderful Fish-Fri into a small bowl.
Remove cheese curds from milk and egg mixture, 1 handful at a time, and place in fish-fry. Coat each cheese curd with fish-fry.
Using a slotted, long handled spoon, place cheese curds in pre-heated oil. Allow to fry for 10 seconds or less, until a light golden brown. Using the same slotted spoon, remove curds from oil and place on a paper towel for excess oil to drain off.
Serve warm.