A milling machine works in a similar fashion to the lathe in that a block of metal, plastic, wood, etc. is locked down into position and then a spinning tool (in this case) is manipulated into a path that intersects with that block to carve away material. Say you wanted to make a metal box from scratch out of a couple of pieces of raw metal. Well obviously you're not going to pick up a Dremel© tool, lock the metal into a vise and cut a straight line through it by hand (and if you can, remind me to never mess with you!) but with a milling machine you can lock it down and by using hand-operated cranks move the spinning head with a metal carving bit in it, both up and down and left and right to do the job for you.
Those of you familiar with the children's toy by Ohio Art called the Etch-a-Sketch have a basic understanding of how a milling machine works. Either by hand or by computer, a milling machine can be operated to cut very precise shapes in nearly any material, and with the desire and willingness to learn you could be making some amazing miniature parts for your dolls and dollhouses within a few months.
While these two machines are somewhat complicated tools for the hobbyist, if you're getting more serious about your craft the milling machine and the lathe can definitely open up new possibilities for your creations.
Christmas is right around the corner people, what are you making?