"I want coffee with milk."
Translation:Я хочу кофе с молоком.
When you have conjuction "with" (с), you use instrumental case. http://www.russianlessons.net/grammar/nouns_instrumental.php
A little question of culture: in Russia, when you go to a café, how do you ask for a cup of coffee, just like this sentence or with a different expression? I mean, where I live, if you ask for a coffee, the waiter will ask you of what size: "small", "medium" or "large" (in other zones of my country the measures are just "short" or "long"). I would be very interested in this topic if one day I travelled to Russia.