Why do I need to cook milk in a cast iron pan before first usage? I bought a cast iron grill pan from a famous Swedish four-letter store. They suggested boiling milk with some vegetable oil before starting to use the grill.

Why is this necessary, and what's the difference from just washing it with water?
I've never heard of milk being used to season a pan and so I am a little skeptical of it. 

Pan seasoning is always done with fat that is heated until it polymerizes. This creates a very hard non-stick surface that makes cooking easier and protects the pan from rust.

See this question for more about how to season your pan:

What&#39;s the best way to season a cast iron skillet?

See the article linked in one of the answers:

http://sherylcanter.com/wordpress/2010/01/a-science-based-technique-for-seasoning-cast-iron/

This process, while slightly more labor intensive, produces the best seasonings I've ever seen.