Note that much freeway “gentrification” (sorely needed) is ongoing, so be patient! (The U.S. government says Milwaukee is likely to suffer L.A.-esque traffic death by 2020 without it; good news—the first project finished early and under budget—Midwestern work ethic rocks!)
Beware: Jaywalking is illegal and strictly enforced in Milwaukee, especially during lunchtime hours. You will be ticketed; don’t even try it. On the other hand, the police dole out equal numbers of tickets to drivers who don’t give way to pedestrians.
From the west, I-94 is the primary thoroughfare; I-894 skirts the southern and western fringes north to south, and I-43 meets I-94 at the Marquette interchange downtown and then heads north.
Off the freeways, most of the sights—save the Historic Third Ward  or outlying sights—are concentrated in a rough square bounded by WI 145 to the north, I-43 to the west, I-794 to the south, and the big old lake to the east. The Milwaukee River splits the square down the middle and separates the city into its east and west sections. The river is also the line of demarcation for street numbering, so if you bear in mind where the river is, you should be fine.
A comprehensive skywalk system connects the Frontier Airlines Convention Center, the Federal Plaza, and the Shops at Grand Avenue. When it was built, one stretch, the Riverspan, was the only skywalk in the United States built over a navigable riverway, here the Milwaukee River.
Bless Milwaukee  for its angels. Not seraphims, but civic altruists officially called public service ambassadors (PSAs around here), they’ll happily help with anything.
Bless Milwaukee—there’s always free stuff! Downtown, Pere Marquette Park has free concerts Wednesday evenings; Cathedral Park Square at Jefferson and Wells features free live jazz Thursday evenings. Virtually every county park has summertime free music, too; check county.milwaukee.gov for schedules.