It's a bit of a chicken and an egg situation, isn't it? We know that dairy has been produced in Europe since prehistoric times, when the gene that allows adults to digest lactose was still very rare. Logically, they must have started by exclusively eating fermented yoghurts and cheeses, which have most of the lactose removed, and therefore can be digested by lactose intolerant people. However, these will have still had some lactose in them, so the few people with the lactose tolerance gene would have been able to get a little bit more energy from them. Over the generations this slight edge caused lactose tolerance to become more common, and as a result people could start drinking unprocessed milk, and consuming more dairy in general. This in turn would have made lactose tolerance even more advantageous, and so on and so forth.

As this is a question of genetics and evolution, this is more a science question rather than a history question. Scientists are still figuring these questions out now and it isn't something people study as history.