When they say 'midlands' what area's are they reffering to and is milton keynes one of them?

Milton Keynes is certainly in them! The midlands are usually split into East Midlands (Derbyshire, Nottinghamshire, maybe some of Lincolnshire), and the West Midlands (Birmingham, Coventry, Warwickshire, Shropshire, Herefordshire, Worcestershire etc), but you can also sometimes hear mention of the north midlands (Staffordshire, Stoke-on-Trent) and the south midlands (Oxford, down into the Thames valley). It's basically the bit of England which runs due east of Wales and south of Cheshire and Yorkshire, until you reach the Lincolnshire coast, but not including Cambridgeshire and the rest of East Anglia.