It's neither! Eating more calories than your body needs leads to weight gain. Milk has nutritional value as well as calories. How it fits into your diet, as one caloric item among others, is not going to make milk the 'guilty party' causing weight gain. The fat in milk contains more calories than protein or carbohydrate in the same milk. That makes skim milk a good option for many people (non-fat milk).
Hope that helps.