None of the components in milk have a color.Milk is a colloidal 
suspension of fat 'micelles' (little round fat balls,i.e., the 
'particles') in the liquid portion (i.e., the solvent).Milk is
white because it contains large particles of different optical 
density than the solvent, which ``scatter'' the light.

So in short- "milk is white for the same reason the sky is blue"

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protein named Casein and rich calcium content contributes to milk's white color. also the cream which is found in milk contains white colored fat and the milk is more white when more cream is there. like wise low & non-fat milk appear more grayish in color than white because they contain less cream. but the main reason is the scattering effect as discussed above.