In a small saucepan, melt the butter over medium heat then stir in the flour. When the mixture starts to bubble, cook, stirring constantly, for 1 minute. Whisk in a third of the milk, breaking up any lumps, then add the rest of the milk. When the milk comes to a boil, reduce the heat so it's still simmering, and cook (whisking constantly) until it the texture resembles runny mayonnaise, about 1 minute. Remove from heat, add salt and cayenne, and set aside.