Lift one pointed side of top shell and remove the gills by pulling them out. Put top shell back down and repeat on other side. On the bottom side remove tail flap by twisting and pulling off.
Using a pair of scissors, remove the face by cutting behind the eyes. Rinse the crabs thoroughly with cold water. Dry on paper towels.
Heat oil in a deep fryer to 365 degrees F (180 degrees F). In a shallow dish, whisk together the egg and milk using a fork. In a separate bowl, stir salt and pepper into the flour. Lightly salt the crab, then dip in the flour, dip in the egg, then in the flour again.
Carefully place crabs into the deep-fryer. Cook for 1 to 2 minutes, or until golden brown on one side. Carefully turn over, and cook until golden on the other side.
Drain on paper towels. Serve as soon as they are cool enough to eat. You can eat the whole crab.