What are the dates you're going to be here?
I can reccomend a show perhaps, something uniquly Milwaukee, but I need to know if you're going to be here when said artist is performing in town.
Other than that, There's always the old stand-bys, Take a Miller Brewery tour <img src="http://people.msoe.edu/~reyer/mke/1955as.jpg">
or Sprecher for that matter.
Check out the Calatrava, (the world class art museum on the lakefront) <img src="http://www.mam.org/site/photos/images/mam8.jpg">
Visit at noon to see the "wings" open and close.
The Domes are interesting, for about an hour or two. I haven't been there myself in quite some time though.
<img src="http://www.gossencorp.com/images/milwaukee/domes.jpg">
Visit the casino if you feel like you've got too much money. It's very pretty, but hard to find a table game that's not full or a slot machine that's not expensive so therefore this I don't really reccomend this.
If you plan on going out for a drink, you MUST go to the Safe House
<img src="http://www.safe-house.com/graphics/logo.gif">
if only just to say you've been there. There's nothing like it anywhere. Just ask around for directions, just don't expect to be given the password.
It's too bad that you won't be here during the summer. That is when Milwaukee has the most to offer. Summerfest, or countless other festivals, the state fair, Baseball at Miller Park.
During the cold winter months, (October - April) most of us just drink a lot.