Great question! We'll start with the most important part: materials will be colored (to us) if they absorb visible light. Things that are transparent (things we can see through) do not reflect, scatter, or absorb light.

Water, when it is pure water, absorbs no visible light. So all white light (light from the sun), will pass right through it, and will look transparent to us. Glass, when it is pure, is the same way. All white light will pass right through it.

But think about colored glass, why does it look blue or green or red, but is still transparent? Well, it has very small impurities that will absorb part, not all, of visible light, making it looked colored. Because these impurities are so small, the glass is the majority of the material it is still transparent, but shows a bit of color.

Why is milk opaque (we cannot see through it)? Light is hitting the milk, but being scattered, reflected, and absorbed. Light is not hitting our eyes from the other side of the milk because it can't make it through the milk, which means we cant see through it. This applies to everything that we cannot see through - light cannot pass through it.