If you're like the majority of FedEx pilots, well, the McDonalds is about two blocks from the hotel.
Seriously, Milan is a fantastic city, but one that needs to be enjoyed in mild weather. However, there's lots of indoor stuff to do there as well. You can walk or take the train to the Duomo, which is the third largest church in the world. The plaza surrounding the Duomo is filled with lots of places to eat and people watch. Then there's Lake Como, which has to be one of the most beautiful lakes in the world. I'd recommend going there and buying a day pass on one of the boats that's used to take folks from one lakefront town to the next. The boats depart about every half hour and proceed all around the lake, stopping at all these different towns, where you can get off the boat, have lunch and a glass of wine, maybe a little ice cream for dessert, a little after-lunch walk, then back to the dock for the next boat. You'll get a fantastic view of lots of multi-million dollar mansions and wonderful, picturesque towns as the boat makes it's rounds.
Then, for the adventurous, there's always Venice. However, you'll have to get up around 5:30 A.M. as the 6:00 A.M. train leaves right on time. It's perhaps a 2 or 2&1/2 hour train ride (be sure to sit in first class) to Venice, but then you're in Venice. Wonderful architecture, great restaurants, great beer gardens, lots of tiny little back streets, winding their way throughout the city. Just Fantastic!
For Lake Como or Venice, I'd want to make sure that your other crewmember is going too, because otherwise it would be a very long day, being all by yourself, unless of course, you're a non-member, in which case I'm sure you're used to being alone. Just kidding.
As well, I just checked the weather for Christmas week, and it's going to be in the high 30's to low 40's. Cold for Connecticut and even colder for Italy. Bring warm stuff. If you do Lake Como, you'll freeze your butt off if you stay outside on the boat.
Have fun. Be safe. Don't pick up any of those girly-men, of which there are many in Milan. Look for adam's apples.
By the way, check out this site:
http://en.wikipedia.org/wiki/Milan