It all depends on what kind of cheese you want to make. One of the keys is the type of milk you use. Parmalat, or other brands of ultra pasteurized milks will probably not work for all but the most basic of cheeses, since the process destroys all the cheese making bacteria (lactobacillus). Homogenized milk (which nearly all but fresh from the cow, goat, etc, milk is) is tricky, because the process breaks up the fat globules in the milk, making it harder for curds to form. But even with 2% cows milk, you can make a very basic cottage cheese.
Start by bringing one gallon of milk to just under a boil (about 190F or so). Pour in 1/2 cup of vinegar (distilled white is best, red wine or cider will probably make it taste funky), and let the mixture cool. You can add salt if you like, but that's optional. Once the mixture (curds and whey) is cool, you can strain off the whey in a colander or cheese cloth, and viola! Homemade cottage cheese. The curds form from the vinegar, which is basically acetic acid, which takes the place of lactic acid produced by cheesy bacteria in their fermentation process.
For more solid cheeses, you may need to mix some skim milk with a little whipping cream. The cream is still homogenized, but works better because of the higher fat content. Things get a bit more tricky here, because you need to sanitize everything. Any product made from fermentation needs to have special care taken that no foreign bugs get in there. One spore from a certain fungus can turn a 5,000 liter cask of wine into vinegar. Similar things can happen to cheese, but these wont just make it taste bad, they could make you quite sick. Boil everything you plan on using for at least 5 minutes if you can, or soak it in a 1/10 bleach solution for about 15 minutes, then rinse it well so you don't taste bleachy cheese.