Milk contains:

Proteins, subdivided into
Casein proteins (5 varieties) total 74-78% of protein
Non-casein proteins
A) Lactalbumin, beta-lactoglobulin, alpha-lactalbumin, blood serum albumin
14-24%
B) lactoglobluin, euglobulin, pseudoglobulin and serveral immunoglobulins
2.7-5.9%
C) proteose-peptone fraction 2-6%
together the proteins comprise 18 amino acids

You can be allergic to any or all of these proteins. Most common seems to
be casein allergies. There is some disagreement in the medical literature
about how common and how severe whey allergies are. How allergies work in
practice is extremely complex and cannot be easily summarized. Some people
can tolerate whey proteins, others casein proteins. All should be able to
tolerate pure lactose, but outside of a medical lab there is no way of ever
knowing when something is that pure. Unless told otherwise by a doctor, the
safest course is to avoid all dairy products.

Milk also contains:
Fats (97-98% triglycerides, but also fractions of at least 19 others)
Lactose (milk sugar)
Minerals (7 in major amounts: calcium, chlorine, magnesium, phosphorus,
potassium, sodium, and sulfur; and more than two dozen trace minerals)
Vitamins (ascorbic acid, thiamin, riboflavin, niacin (and niacin
equivalents), pantothenic acid, folate, and vitamins A, B6 and B12)
Ash (non-mineral residue)
Milk contains no fiber, BTW

This probably can be broken down further but you'd lose me there as well.
These fractions and percentages are for cow's milk; every animal milk is
distinct and would contain some elements (usually protein fractions) not
found in the others, but in general this is the basic breakdown.

Again, sorry for the formatting.

For more info, see my SuperGuide to Dairy on my web site,
http://ourworld.compuserve.com/homepages/stevecarper/guide.htm

Steve Carper