Lactose free milk isn't really really lactose free. What the manufacturer does is adds a lactase enzyme to the product which digests the lactase molecule into galactose and glucose. It still contains the same amount of sugar and fat as regular milk.
Milk really isn't the best choice. Even if you are trying to gain weight. A cup of 1% milk has 13g carbs, 2.5g fat and only 9g of protein.
You would be much better off using a high quality whey protein supplement and then adding in your own carbohydrate source like oatmeal, fruit etc.
All protein powders are not created equal. You really need to be a smart consumer in today's market and do your research. Look at the ingredient list and supplements fact panel on every supplement before buying it.
For a whey protein - you want to see nothing but that in the ingredients list. Whey protein, natural flavours, a natural calorie free sweetener like stevia and then maybe some salt, soy lechitin and cocoa powder. There are a lot of good products on the market. I personally use isolation from n2bm.com. A good whey isolate should be pretty much fat and carb free. Isolation has 26g protein, 1g carb, 0g fat per 30g scoop.