Crush the anise, leaing a small amount uncrushed for decoration. Heat the butter in a pan to brown, then leave to cool. Beat in one third of the sugar, then add the remainder with the vanilla, rum, milk and crushed anise. Mix the flour in well, then turn out onto a board and knead well. Shape into long thin rolls and cool in a fridge for 1 hour. Cut into rounds and put onto a greased baking sheet, spaced well apart. Brush with milk, and sprinkle with whole anise and powdered sugar. Bake in oven for 8-10 minutes until golden. Cool for 2-3 minutes on tray before transferring to rack.