It's just simple math. Most protein powders get their protein from dried milk whey. You have to read the label to find the amount that's in there. For the simple whey concentrate that I have, a "scoop" has about as much protein as two cups of milk, but without the extra carbs and fat. Mixed with a cup of milk, that's three times the protein, without extra carbs. If you were going to have those carbs (which are mostly lactose) anyway, the milk is cheaper. If you were trying to cut down on sugars, the powder is a better bet.
Some powders also have some portion of partially-digested protein or alternatively, slower-digesting protein. This is supposed to create some kind of "timed-release" effect. I'm kind of skeptical.