Was also there at the end of January.
The cathedral is something to see, there are lots of old buildings and the Sforza castle is something to see. However, I believe everything could be done in one day, Venice isnt far away and Trenitalia offers good train rates.
Oh yeah the main train station is pretty kickass, you should go there just to look at it even if you dont ride the train. If you are facing the rails, on the right side at the end of all the tracks there is a model of the train station, its by the bathrooms and police station (in the train station).
Outside of downtown its a typical big dirty european city with a lot of postwar (ugly) buildings.