Is mixing protein shakes with water as effective as mixing it with milk?

I'm going to the gym to tone up. I want to also gain a bit of weight but am stuck whether to mix the powder with water or milk. Which one works best? I must point out though that when I used to mix the powder with milk I used to get diarrhoea soon after and I would always be letting out bad smelling farts (apologies for TMI).

Also, if I'm looking to gain weight and build muscle should I be buying a muscle/weight gainer powder or whey protein?

Thanks.
Is mixing protein shakes with water as effective as mixing it with milk?
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