Some of my favorite Milwaukee places include the Milwaukee Public Market, Discovery World and Central Library. If you have younger children, the Betty Brinn Children's Museum is a great place. You can also go ice skating outdoors at Red Arrow Park, which is only a block from campus.
If you're looking for a place to grab a meal or treat, you can't beat the burgers at Oscar's on 17th and Pierce, or the custard at Leon's on 27th Street.
You might want to check out this post about Milwaukee's hidden gems too: http://www.msoe.edu/message/2273
The Milwaukee Art Museum is cool, and the Domes are really unique if you like plants/gardening. (The Domes are close to Oscars.)
Don't forget to grab a cup of Java at the new Stone Creek Coffee by the Amtrak Station!