Quite why a simple but delicious pudding should be named after the (properly titled) Military Knights of Windsor is not clear. They are retired military men who accompany the Knights and Ladies of the Garter at their services and ceremonies, the red uniforms of the Military Knights adding colour and tone to proceedings.
The unit was formed by Edward III as a charitable way to care for knights ruined financially by ransoming themselves after Crecy. They were lodged at Windsor Castle , and paid a small pension, in return for which they had to pray daily and officiate at Order of the Garter events.
The pudding is a luxurious version of eggy bread, preferably stale as it soaks up more of the liquid that gives it flavour when stale. Jane Grigson recommended brioche, but simple white bread, crusts cut off, is perfectly adequate. Fingers of bread are dipped in a mix of milk with a dash of sherry and white wine, though red is fine if that is all you have to hand.
Dip the milk-soaked fingers into beaten egg, or for a finer result into beaten yolks only, then fry them gently in a pan with butter, or better still clarified butter. Sprinkle with sugar and cinnamon or at a pinch, as it were, nutmeg, and eat the fingers hot. For a still more calorific hit spread strawberry or raspberry jam on the sugared fingers, though this is gilding the lily.
The title Poor Knights of Windsor has a homely if chivalric warmth to it, just as the pudding has a homely elegance.