Thank you all.
I will have to presume the answer is no as I can't find any exceptions.
Urlord, thanks but that's a mammal that produces milk. :)
Nautilator, thanks but "live young" is also part of the definition of a mammal but montremes are an exception so I was wondering if there were exceptions to the milk rule.
Baloo55th, very clever, but mammal is a classification, not a sex. :)
Just to add that I think this is what I was searching for (so the answer is definitely no):
http://www.livescience.com/3584-mammals-milk-160-million-years.html ~ a study of genes and milk productions across the species of mammals.
"....it is produced by all species in this group and apparently has been for at least 160 million years...."
http://www.livescience.com/4864-mom-milk-helped-mammals-drop-egg-laying.html ~ a study investigating genes linked with eggs and milk.
"All mammals have at least four physical traits in common. We all possess hair at some point - even whales and naked mole rats. We all have three bones in our middle ear that help amplify sound. We all possess a neocortex in our brains, a structure responsible for higher brain functions. And all mammal species can produce milk."