Depends on what you want to accomplish. Milk has alot of carbs and sugars in it, so if you are trying to cut then you most likely should just be taking it with just water. If your bulking, you can probally take it with milk and be fine. I still think the best thing to do is just take it with water than add your pwo carbs like dextrose/maltodextrin so you know the exact ratios of what you are taking in.

Some brands are nasty in water though...just have to learn to live it.