Yes and no. If you drink more than your body can digest, suffer from an allergy to the cow's milk protein, have gastroenteritis or consume milk from bovine hormone injected cows, than the negative effects might outweigh the positive. Otherwise milk and dairy have many health benefits.
Calcium myths and non dairy sources Hmph. Turns out veggies are a better source of calcium than cows milk, and cows milk isn't really good for you after all... Why do people need studies to tell them this?!