I'm a transplant to Boston, so learn from my mistakes--there's some bizarre nomenclature here. The lowdown:
1) If you order a milkshake, they'll give you milk mixed with flavored syrup.
2) If you want what is called a "milkshake" in the rest of the civized world, order a "frappe."
3) But you have to pronounce it "frap."
I've covered this subject on my introduction to Boston. To see things in greater detail go to the website below.