If you're taking around 25 grams or more of
whey protein at a time, then you'll probably want to mix it with milk. If under 25 grams, then mabey you should mix it with water (assuming you want it to digest quicker). Milk contains both whey and
casein protein. Whey protein is the fast-acting protein everyone talks about, but the casein protein, which is also in milk, slows down the digestion of the whey protein. Since whey protein is "short-lived" and whatever isn't digested in a certain time is pretty much wasted, mixing it with milk will help it last longer and you'll get more protein absorbed.