I always mixed my protein shakes with milk for years until I spoke to a London personal trainer Andy Henry.
He had won the Mr UK bodybuilding championship and got second in Mr Europe he told me that mixing protein shakes with milk carried two much protein in one serving and would just be wasted as the body couldn't take it in.
Water is the best way for digesting protein shakes as it has no extra protein in it another great liquid would be apple juice as it helps break the protein shake down into a more digestible state.
People often ignore the digestion process but this is very important as this is what determines how much protein is given to the muscles and if you want big muscles you must watch your digestion.
Digestive enzymes are also good to take along side a high protein high carb diet.
These can be purchased at any good nutrition store such as GNC or just ask your personal trainer to get it for you.
When I first started bodybuilding I took way to much protein and suffered from stomach pains and gastritis.
I cant stress enough the importance of watching your digestion when eating protein shakes the serving often on protein shake tubs suggested by the companies are too high aim for around 23 grams of protein per serving digestion leave it 2-3 hours till your next serving or meal.
Good luck with your muscle gain and try not to risk organ damage by being impatient and wanting results over night.
Muscle takes time to build but it will happen as long as you train hard and follow your diet no matter what your body shape and type.