Shake, strain over ice in a highball, express and insert twist. Some garnish with nutmeg, though this is not considered traditional.
Troy Patterson, at the link, writes as though this cocktails is rather unpalatable. I haven't tried it, but I have to say that Calvados + Madeira sounds good to me. Maybe the egg white, without soda or much acid to balance it, adds an odd mouthfeel; this drink might benefit from soda or lemon (or simply omitting the egg and serving up).