Sounds like they mixed up your order. If you asked to have it milled and it came whole, you'll have to mill it or crush it before you can use it. Call 'em up and ask. Maybe they'll just send you a replacement order properly milled.
And, btw, they wouldn't put it in a muslin bag for you. They'd probably ship it to you in a plastic bag. You need to buy a grain bag (or make one) and load it up yourself. Buy a couple of different sizes of reusable nylon grain bags and use them over and over.