Milk is not a pure substance; it is considered a mixture because it does not occur naturally on its own. It is a mixture that combines mostly water, sugar, fat and proteins.
Most substances found in the world are not pure substances but are a combination of various chemicals and compounds. Even naturally occurring substances like crude oil are mixtures of many different substances. The main difference in what can be done with pure substances and what can be done with mixtures is that mixtures can be separated, but pure substances cannot be separated.
One of the easiest ways for people to understand how a mixture works is to do a small experiment. The experiment starts with a glass of water, which is generally a pure substance. The water will look clear and will not have anything large floating in it. Sugar should be poured into the glass and the mixture should be stirred up. The water will likely look somewhat the same despite some small sugar particles. It will not be the same as it was before the sugar was poured into it. It will taste differently, and it will be chemically different because the sugar changes the chemical compounds of the water. It is important to note that the combination has not bonded together and has not become completely blended, but it is still a mixture.