I don't drink Milo like that. I mix it in hot water first, then chuck the milk in on top. If you just use milk, it won't dissolve completely. Not that that's a problem of course. It still tastes the same. BTW, for some reason there are still people who believe that Milo is meant to taste like chocolate. It isn't! It's a MALT extract, not a cocoa one, so it's not meant to taste like chocolate, unless you have chocolate that tastes malty.
I remember on one of my ecology field trips at Uni, we were trying to explain Milo to the American exchange students. They couldn't understand that it wasn't cocoa and kept trying to add sugar to it; there was one guy who was particularly baffled by our habit of drinking it with the 'little dirt layer' on top.