Preheat your oven to 350°F (180°C) and grease a baking dish.
In a bowl, mix the crumbled feta cheese, eggs, milk, salt, and pepper until well combined.
Lay out a sheet of phyllo dough and brush it with melted butter. Place another sheet on top and brush with butter again. Repeat this process until you have a stack of 6-8 sheets.
Spread a layer of the cheese mixture over the phyllo stack.
Roll the stack into a log shape and place it in the greased baking dish, coiling it around to fit.
Brush the top of the börek with more melted butter and sprinkle with sesame seeds if desired.
Bake in the preheated oven for about 30-40 minutes, or until the börek is golden brown and crispy.
Remove from the oven and let it cool slightly before slicing and serving.
