Mix all ingredients except color either by hand or a stand mixer. Knead until smooth and gluten has developed, add in water of flour as needed. Dough will be soft and sticky, as this is how rye dough feels It makes a tacky dough, not like white! This takes about 7'10 minutes. Put dough in a large, lightly oiled bowl and let rise until it is puffy, about 1 1/2 hours.
Remove, divide in half. Knead the color into one half. Roll each half into a 8x11 inch rectangle. Put one on top of the other, I put the lighter one on the bottom so the lighter color is the outside of the finished loaf. You, of course can decide for yourself! Roll into a loaf, jelly roll style, starting with the 8' side, tuck ends inches.
You can either make a free form loaf and put on a parchment lined sheet pan or use a large lightly oiled bread pan. In either case, cover with a damp towel or a piece of lightly spayed cling film. Let rise until doubled, approximately 1-11/2. In the meantime preheat the oven to 400 degrees.
Place the bread in, bake for 15 minutes, reduce heat to 350 and bake for an additional 20-25 minutes, until it has an internal temperature of 190 F, or sounds hollow when tapped. Remove and cool completely on a wire rack.
You can easily omit the dry milk, it is only there for nutrition and it makes for a more tender crumb. Also, the coffee is only to darken one half, so you get the different colors. You can't taste it! Some recipes call for cocoa,which I think you can taste, others for caramel coloring. I simply think instant coffee is easier.