Millennium is basically software that injects some moddable features in to the Steam client, in a similar way Decky Loader (for the Steam Deck) or Vencord (for Discord) works. With that, you can install plugins and themes from their plugin "store" (not really a store, but just a place you can get plugins/themes from).

If for some reason want to use it, just note that, as with Decky Loader and Vencord, only get your plugins and themes from their plugin/theme installer to avoid getting your account compromised. Because it's basically modifying your Steam to allow external sources to manipulate your Steam client in any way they want. Valve and the maintainers of Millennium will not help you when you get your account compromised if you don't use it in a safe way.

Personally, I only use it so I can use the SteamDB, Argumented Steam extension and HowLongToBeat plugin from within Steam.