Begin by cutting cream cheese and butter into the baking mix until the mixture is blended.
Stir in 1/3 cup of milk until the dough comes together.
Knead the dough a few times.
Next, roll the dough between 2 sheets of wax paper until it is a rectangle about 9 x 17 inches in size. Don't roll the dough too thin, or it will break when you braid it.
Transfer dough to an ungreased baking sheet or parchment-lined sheet (see note below).
Spread preserves down the middle, leaving several inches of room on either side.
Use a sharp knife to make 3-inch cuts every inch or so down the long side of the coffee cake, as shown in the photo. Make sure to do the same on the other side.
Braid the coffee cake as shown in the photos. Begin by folding over both ends a couple of inches before braiding to keep preserves from leaking during baking.
Alternating strips, "braid" the coffee cake so the strips cover the preserves. Make sure to keep your braid snug with plenty of overlap on the strips so the braid doesn't break open as the dough rises.
Pat the sides and seal any deep cuts on the sides that might cause leaking.
Bake at 375 degrees for 15-20 minutes until lightly browned around the edges and starting to brown on top.
While baking, make the icing by combining powdered sugar and butter, adding milk a tablespoon at a time until the icing is of a pouring consistency. Don't thin the icing too much, or it will completely run off the coffee cake.
Let the coffee cake cool for 10-15 minutes, and then pour icing over the top.
Serve!