Milk is a product extracted from milkable animals. Currently, it is only possible to milk purring maggots. However, human trade caravans can be asked to bring cow's milk (consisting of only a single unit per barrel). Dwarves will not drink "raw" milk - it has to be cooked or turned into cheese.
A milker extracts milk from purring maggots in a Farmer's workshop. Milking other animals is currently not functional (to milk something it must be an item, not a creature, and the only milkable item is a purring maggot). However, any milk can be made into cheese.