I found the recipe in the rec.food.recipes archives... it does indeed 
 suggest adding an egg, though I've never tried adding one [insert 
 standard warnings].  Maybe I was missing the vanilla -- and the 
 blender... moved 3 yrs ago, blender is still hiding.  :)
 Here’s the updated vlf version:
 Orange Julius
 6 oz  frozen orange juice concentrate 
 8 oz  nonfat milk (or 1/3c nonfat milk powder + 7oz water)
 8 oz  water
 1 tsp vanilla extract
 8-9   ice cubes
 Combine all ingredients, except ice cubes, in blender.  Blend 1-2 minutes,
 adding ice cubes one at a time.  You may want to add a bit of sugar. 
 Original recipe posted by diane@sulu.biostat.washington.edu (“Diane  
 Janssen”), who suggested using other fruit juices and varying the amount 
 of milk and water to modify the richness.