Drilling is making a hole in material with a rotary bit which cuts only at the tip of the bit, with the removed material traveling up the side of the bit (through the grooves) and out the top of the hole which is being formed by the drilling action. The drill bit is only moved vertically into the material, because the tip is the only part of the bit which has very sharp cutting edges. The sides of the bit are not sharp, and do not remove material. In CNC use, the drill will be raised above the material, then plunged into it to create a hole. This operation will be repeated as needed to make as many holes as are needed of that size. Because the drill bit makes a hole only the size of the bit, making different sized holes requires changing the drill.
Milling involves cutting material with a slightly different bit: One that has cutting edges both at the tip, and along the sides. This bit can remove material as it is move side to side as well as down. Because the sides are optimized for cutting, and not for the removal of the material, the mill bit is not normally plunged deeply into the material. Instead, material is removed in several shallow passes, which can take longer than drilling. Because the milling bit can cut sideways, any size or shape of hole can be made, so the bit normally don't not need to be changed as often as a drill bit.
As a result, drilling is more efficient in CNC work when many deep holes of the same size are to be made in the material. Milling is more efficient when shallow holes of many different size or shape are desired.