In a 1-qt. microwave-safe dish, combine the cream cheese, milk and Parmesan cheese. Cover and microwave at 50% power for 2 to 2-1/2 minutes; stir. Cook 2-4 minutes longer or until cheeses are melted. Add nutmeg and pepper. Serve over vegetables.
Editor's Note: Shredded Parmesan cheese will give the sauce a creamier texture than grated Parmesan.