If your goals are either strength-oriented or aesthetic-oriented, then strength trainng should always come first, and cardio/conditioning afterwards (if at all).
Actual milk is good. The kind that comes out of a cow and goes into your stomach (and in my opinion, the fewer steps between these 2 events, the better). Most people will never progress to a point at which they need to worry about any supplements other than general health supplements - multi-V, omega3, etc. Most bulking protein supplements have about the same nutitional content as skim milk, which is less effective than full cream milk for building muscle (and not just because the same volume of full cream has more calories than the same volume of skim). I'd just drink milk.