Scald milk with sugar, salt and butter in a small saucepan. Cool just until warm.
In a large bowl sprinkle yeast into warm water and stir until yeast dissolves. Stir in cooled milk mixture. Beat in 2 cups of the flour to form a smooth dough. Beat in the cheese. Gradually beat in the remaining 3 cups of flour to make a stiff dough. Turn out onto a lightly floured pastry cloth or cutting board. Knead until smooth and elastic, adding only enough flour to keep the dough from sticking.
Place in greased bowl, turn to coat all over with shortening. Cover with a towel. Let rise in a warm place, away from drafts, for about 1 hour or until doubled in bulk.
Punch down dough and divide in half. Knead each half a few times. Shape each into a ball and place in greased loaf pan. Cover and let rise again in a warm place for about 1 hour or until doubled in bulk. Bake at 350°F for 50 minutes or until bread gives hollow sound when tapped. Remove from pans and cool on wire rack.