Preheat the oven to 350 degrees Fahrenheit, and spray a 6-donut pan very well with cooking spray.
In a medium bowl, stir together the melted butter, egg yolk, milk, vanilla, and orange zest.
In another bowl, whisk together the flour, sugar, baking powder and salt. Stir this mixture gently into the melted butter mixture. Divide the batter between all of the donut spaces on the pan.
Bake for 8-9 minutes, or until the donuts are dry on top and spring back when you press them.
Let the donuts cool in the pan for 5 minutes (they will pull away from the edge of the pan as they cool). Run a knife around the edge of each donut, and then flip the pan upside down to tip out all of the donuts.
In a small bowl, beat together the powdered sugar, butter and fresh orange juice. Frost each donut with the frosting and serve.