The first step, no matter where you are, cold water. Rinsing the entire stain with cold water will work it out of the fabric and keep it from setting.
Whenever possible, work from the reverse side of the fabric because the spill is on the surface it is easier to rinse it from the back side.
Once you've rinsed thoroughly, pretreat! Milk is a protein based stain so you want a treater that can break up proteins and whisk away fats and oils - my all around favorite - shampoo!
Use an old toothbrush to work some shampoo from the back of the fabric into the stain.
The toothbrush will help push the stain out of the fibers and working from the back you'll be sure not to damage the fabric by rubbing too hard.
A little bonus - the shampoo will also treat coffee and chocolate stains so you're set for those ice cream, latte and chocolate milk messes.
Let the pre-treatment sit for an hour or so and then launder the item in cold water. Be sure to check that the stain was removed before you toss it in the dryer!
I hope this helps you eliminate your milky stains! I'm Mrs. Fixit and it's just that simple!