If your milk is not frothing, the type of milk you use could be the culprit. Cold skim milk or 2% froth is much better than whole milk. The fat has a destabilizing effect on foam, the more fat it has in the milk, the less air it can hold. If you're using cold whole milk or half and half, frothing loses its volume compared to lower fat milks.
Protein, which is made up of whey and casein help the frothing volume and allow you to create that perfect froth you get at your local coffee shop.