From the Mayo Clinic Website:
I've heard that you shouldn't drink milk when you have a cold because it increases phlegm. Is this true?
from James M. Steckelberg, M.D.
Phlegm is the thick, sticky mucus that drips down the back of your throat when you have a cold. Although drinking milk may make phlegm thicker and more irritating to your throat than it would normally be, milk doesn't cause your body to make more phlegm. In fact, frozen dairy products can soothe a sore throat and provide calories when you otherwise may not eat.