Why do I need to cook milk in a cast iron pan before first usage?
I've never heard of milk being used to season a pan and so I am a little skeptical of it. 

Pan seasoning is always done with fat that is heated until it polymerizes. This creates a very hard non-stick surface that makes cooking easier and protects the pan from rust.

See this question for more about how to season your pan:

What&#39;s the best way to season a cast iron skillet?

See the article linked in one of the answers:

http://sherylcanter.com/wordpress/2010/01/a-science-based-technique-for-seasoning-cast-iron/

This process, while slightly more labor intensive, produces the best seasonings I've ever seen.