In a fryer, heat shortening or oil to 350 degrees.
Cut the onion into 1/4 inch thick slices, then separate the slices into rings.
Pour the milk into a large shallow bowl, dump flour into another large shallow bowl and pour bread crumbs into a third large shallow bowl. The large shallow bowls will make breading easier.
While the shortening is heating up, bread all the onion rings first dip an onion ring into the milk, then into the flour. Dip it back into the milk then into the bread crumbs and once more into the milk and in to the bread crumbs. This will give each of the rings a nice thick breading.