Milieu is the Exploration of Worlds plot. Also known as the There and Back Again story.
As previously stated it is most often used in Science Fiction or Fantasy stories where the author wants to show off the freaking awesome world they've spent the last decade of their life composing. Milieu stories are also extremely difficult to do with text. While the human imagination is an incredible thing, it is also rather limiting because it is almost impossible to direct every mind to the same conclusion. Most of the time this is a good thing because if the description of, say, an outfit is detailed enough then everyone can get at least a basic idea of what it would look like in reality.
But how much description is too much description?
The gown was made of imported Italian silk of a gentle butter-cream yellow so light it looked almost ivory. The skirt was a full ballroom style but the bodice was tight with an off the shoulder neckline that transitioned into perfectly puffed sleeves that tied at the wrist so the hem flared out over her delicate, white hands. Intricate silver embroidery traced along the fabric to form budding roses that seemed to bloom with every shift of the light and the diamonds sewn into the centers of the roses gleamed and winked happily at her many transfixed admirers.
Who freaking cares?
This works just as well:
Her pale yellow ball gown was richly decorated, just one step shy of ostentatious, with a popular style of puffed sleeves that almost looked like yellow marshmallows. She somehow managed to pull it off with her usual elegance that the court ladies envied and the men admired.
Sooo much better. Now the difference between a milieu story and just plain exposition (which is where our dress description actually belongs) is you're describing the surroundings rather than a person or history. To best illustrate my meaning, I'll turn to the expert in scene description: JRR Tolkien.
All about them were small woods of resinous trees, fir and cedar and cypress, and other kinds unknown in the Shire, with wide glades among them; and everywhere there was a wealth of sweet-smelling herbs and shrubs. The long journey from Rivendell had brought them far south of their own land, but not until now in this more sheltered region had the hobbits felt the change of clime. Here Spring was already busy about them: fronds pierced moss and mould, larches were green-fingered, small flowers opening in the turf, birds were singing. Ithilien, the garden of Gondor now desolate kept still a disheveled dryad loveliness.
~From the Two Towers
In this passage we are acquainted with what the Hobbits know, what they don't know, where they are (in general terms), where they've come from and what their immediate surroundings look like.
Most people don't use milieu in this way but, as I said, Tolkien was the master and all four of the (original) Middle Earth books are filled with prose like this. If you want to learn how to write about a world, read Tolkien.
So what is the point of writing a milieu story? Especially if it can be exceedingly difficult to get across your ideas when describing alien things. Not necessarily aliens as in "little green men", but things that your reader has nothing to use as a base or comparison. It's sort of like describing color to a blind man. How can you tell someone the differences between green and orange if they've never seen blue or red?
This is why straight milieu stories are often avoided or else they're full of comparisons such as:
The tree was built like a pine, tall and thin with a straight sturdy trunk and a mass of branches; but rather than needles, the branches were topped with purple feathers so soft and supple they were often used to stuff pillows and mattresses for those that could afford it.
You know what a pine tree looks like, you know what feathers look like and you know what the color purple looks like. So while you've never seen a pine tree covered in purple feathers before, you should still be able to get at least a vague idea of what you're "looking" at.
However, because milieu stories are all about what you can see they are most often used in cinematography. Movies like Avatar, the Lord of the Rings trilogy, the Hobbit trilogy, the Tale of Gulliver's Travels and Star Trek: Into Darkness (just to name a few) are vastly milieu. Avatar and Gulliver's Travels, in particular, wouldn't even exist if their worlds weren't so completely fleshed out (the same goes for the movies listed that double as books).
But just because milieu stories are best suited to the visual arts, doesn't mean you can't include a strange world in your book. You might just have to tone it down a bit. One of the best examples of a milieu story that is not overwhelming (in the way that we all know JRR Tolkien's milieu writing can be) is The Stormlight Archive by Brandon Sanderson. The world is extremely different from anywhere currently on Earth, and yet it is believable and easy to follow. So again, if you plan to write extensively about milieu, read Tolkien because he's the master and then read Sanderson because he's an excellent apprentice.