In Last Tango, Then Paris, a very pregnant Georgina shows up at Dan's loft, along with ultrasound pictures and announces it's his baby.
Milo is born by the beginning of the season, and Vanessa is the first person besides Dan and Georgina to find out about Milo in Belles de Jour. Dan had spent all summer avoiding Rufus and Lily, hoping to stall them finding out. However, Georgina brings Milo to an event Lily is hosting, and reveals him to them. Rufus insists they get a paternity test done, but Georgina says she already had one done. After calling the doctor and confirming the results, Dan signs Milo's birth certificate. Shortly after, Georgina disappears, citing her need for a spa trip.
In Double Identity, Lily builds a nursery for Milo in Jenny's old bedroom, and Rufus finally comes around to accepting him. However, Rufus later sees Milo's birth certificate and figures out via his blood type that it's biologically impossible for Dan to be Milo's father. When Dan finds out in The Undergraduates, he considers putting Milo in foster care before Vanessa offers to move in and help. However, Georgina returns and explains the whole story. She had a short affair with a married Russian man named Serge, who got her pregnant. When his wife found out Georgina was pregnant, she threatened to have her killed. But when Georgina proved that Dan was Milo's father, Serge's wife called off her men. She says Dan saved her life, and Milo's, but she spent some time with her parents who are letting her move back in. She moves out of the loft and takes Milo with her.
Georgina returns in The Wrong Goodbye, and she is now with Philip, who loves Milo and is happy being his stepfather.
Milo is briefly shown in several episodes, mainly with Philip and sometimes Georgina. It's mentioned that he has a nanny.