The Milesians were the descendants of Mil Espaine, primarily through his sons Erimon and Eber Finn. Ir, another son of Mil, was ther ancestor of the kings of Ulster. The Milesians were the descendants of the Scythian king, Fenius Farsaid, Nuil, Goidel Glas, and Lamfhind. Prior to living in Ireland, the Milesians (or Gaels, considering that the term "Milesian meant a descendant of Mil) lived in Spain.
When Ith, one of Mil's uncles, discovered Ireland from the top of a tower (Brigantia), he descided to investigate his discovery. However when Ith arrived, the Tuatha de Danann became suspicious about why he had come, and murdered him.
When Ith's followers showed his body to his family back in Spain, they [the Milesians] were horrified and grief stricken. The Milesians, together with Ith's son Lugaid mac Itha, set out to avenge his murder. Mil had also died while Ith was jouneying to Ireland and these two deaths made the Milesians decide that there was no point in living in Spain anymore.
When the Milesians arrived in Ireland they forced the three Danann kings, Mac Cuill, Mac Cecht, and Mac Griene to surrender the island to them as punishment for killing Ith. The Danann told the Milesians that if they sailed nine waves away from Ireland, they would get what they asked for. The Milesians agreed, but as soon as they were past the ninth wave, the Danann conjured up a storm to sink their ships.