That and Naples is a gigantic fucking shithole full of fucking degenerates.
Not much to see in Milano, except for maybe the disgustingly ugly duomo in the piazza. The big castle is really, really cool though; be sure to tour it and see the museum inside it. You can just walk in there when you want...it's usually quite empty. Milano is a business city and is quite average in comparison to all the other big cities in Italy...a bit drab, actually. It's like any other large, unremarkable European city. It's fucking great for concerts though.
Alcatraz will probably be where the concert is hosted...it's the big metal and rock venue. There's also Transilvania, or at least there was the last time I was there. I still remember the address: Via Paravia (Para VEE ah) 59. Friday nights used to be the metal/rock nights and they usually host smaller bands there too. Not sure if it's still going or not, but every weekend or so there were pretty decent concerts like Amorphis, Overkill, etc. The after-parties are usually there. There's also the Rainbow where Cristina from Lacuna Coil used to work. Of course there are a few nightclubs but they're full of dickhead Milanesi.
It's interesting but it's not really the place to go to visit a stereotypical Italian city. It's very fast, very crowded, very busy.