Please make me a milkshake.

Literal

I [to-に] milkshake [object-を] make [please-ください].

Standard give/receive request structure: [recipient]に[thing]を[verb]+ください. ミルクセーキ is the katakana form of 'milkshake.' 作ってください is the polite request to make/prepare something. A childlike or informal-polite request.