Lightly coat cookie sheet with non-stick spray (do not use dark metal pan). Set aside.
Form Bars: Remove crust from loaf. Cut loaf horizontally into 4 layers.
Leaving layers stacked, make 3 vertical cuts down through loaf about 2 inches apart.
Turn loaf 1/4 and cut again vertically in half. Each resulting bar will be about 4x2x1/2-inch.
Pour milk and coconut into 2 separate shallow pans. Dip one cut side of bread bar into milk to coat (or apply with pastry brush).
Press same side of bar into coconut.
Transfer to baking sheet with coated side facing up. Repeat with remaining pieces.
Place baking sheet in center of preheated 375° F oven for 10-11 minutes or until top and bottom are lightly golden brown; watch carefully.
Immediately remove from pan and cool.