1. Scald milk; dissolve yeast in warm water.
2. In a large bowl mix sugar, butter, salt, rum and orange juice; immediately pour milk over ingredients in bowl; beat until smooth.
3. Add 1 cup flour, add yeast; mix well. Add 1 ½ cups flour; beat in eggs. Add and beat in remaining flour to make a soft dough.
4. Turn dough onto a lightly floured surface, rest 5 minutes. Knead. Form dough in a ball, place in greased deep bowl.
Cover and let rise until doubled. Punch down.
5. Turn dough out onto floured surface and roll ot 1/2 inch thick. Cut dough with a 3" round cookie or doughnut cutter. Place on a cooking sheet to rise again, 30-45 minutes.
6. While dough is rising, put oil in a deep pan and let get hot. Fry only as many doughnuts at one time as will float uncrowded one layer deep in the oil. Fry 2 - 3 minutes (until lightly browned on both sides). Remove from oil and drain on a paper towel.
7. While still warm, fill doughnut with jam; (cut a slit to help put jam in doughnut, pushing jam into the middle).
8. Place warm, filled doughnut into a paper sack that is filled with sugar. Shake doughnut around.