Preheat the oven at 450°F. arrange the fish in a baking dish. Combine the milk, red chili powder, pepper powder, turmeric powder and salt and pour over the fish. Let it marinate for 15 minutes. Then take the fish from the marinade and coat them with breadcrumbs. Set the marinade aside. Line a shallow baking dish with aluminum foil and arrange the fish in it. Put 2 table spoons of but over the fish and bake for 15 minutes.
In the mean time heat the milk marinade over low heat. Do not let it boil. In a separate pan, melt 2 tablespoons of butter and add the curry powder and stir for a minute. Then add the all-purpose flour and mix well for 2 minutes over medium low heat. Remove the pan from heat and slowly add the hot milk mixture to this and whisk. Again put this mixture in the stove under medium heat and stir with the whisk until it boils. After letting it boil for a minute add the lemon juice and cilantro and mix well. Remove from heat.
To serve: Put the baked fish in a plate and pour the sauce over the top and serve immediately.