A Milling Machine is usually the second major machine tool any aspiring metalworker will obtain, after a lathe. More correctly known as a vertical mill as horizontal mills do exist. Whereas a lathe mainly turns objects in a circle, the milling machine will make objects square and cut slots as well as performing tasks that can also be done on a lathe such as drilling and tapping (being more flexible for this), boring holes and sawing (using a ‘slitting saw’) and mitering tubes.
Basically it consists of a drill mounted on a column which can be moved up and down, pretty much the same as a pillar drill. The head is wound down slowly and has an accurate depth scale on the operating handle. There is also a plunge section as you would find on a pillar drill with a large handle which can be used for rapid drilling but is locked out for more subtle milling operations. The column can often be tilted from side to side to enable cutting at an angle but in practice this is not very useful and it is usually better to mount the work at an angle. The mill can be used as a drill press. Some mills are sold as mill/drills but I am not sure of the difference. Drills can be mounted in a drill chuck but other tools are best mounted in a collet chuck system which is more accurate and secure. The drill head itself can only move up and down, so the shaping of the metal is achieved by moving the table in two axes, against the milling cutters of which there are several types. Collet chucks and the like are usually attached to the mill head using a morse taper. These have a tapped hole in the top which is to further secure them in the drilling head with a threaded bar. Unfortunately a lot of potentially interchangeable lathe tools have a tang (a projecting bit of metal) which is to facilitate their ejection from the lathe tailstock. This means they will not fit into the mill head. I am mystified as to why tooling manufacturers do not make interchangeable tools.