Milk is a mixture. A compound has two or more different elements that are only separated through a chemical process. Mixtures also contain two or more elements, but they are separated through physical methods.
Specifically, milk is a homogeneous mixture called a colloid. The term "homogeneous" implies that the entire mixture has the same appearance; every section of the mixture is identical to all the others. In colloids, the size of the particles is larger than in a solution, where they cannot be seen by the naked eye. Yet, the particles in a colloid are smaller than in a suspension, where the particles are clearly visible.