How do they photograph milk splashes on cereal boxes?

A photograph is taken/created over a period of time. The brighter the light, the faster you can make a photo. The quality of glass the lenses are created from also plays a part; the better the glass the faster light can move through it, thus the faster an image can me made. And finally, how fast the sensor or film accepts light can play a big part in how quickly an image is made. (Note: the speed of a digital sensor or film is referred to as ISO.) So, bright lights, high quality glass, and a fast sensor/film will freeze anything that moves, including liquid as it splashes.

In some cases they will use 'look alikes' for photographs and film. Milk is often replaced with a mixture of white glue thinned with water.

Those kinds of photos are made with a flash delay unit. You have a flash with a very short "on" time--1/10000 second or so--a sensor, and a timer. You also have a camera, and you do this in a completely dark room. When it comes time to take the photo, you open the shutter and release a drop of milk. The drop passes through the sensor, which starts the timer. After a certain number of milliseconds, the flash fires. Hopefully, it fires when the drop looks the best...so you're best off to make a lot of pictures at different delay settings.