In short I'd say no.
Are we talking about say storing millisec from PHP in a MySQL integer field? Or are we talking about manipulating millisec using MySQL functions?
http://dev.mysql.com/doc/mysql/en/TIME.html
You can use the following "relaxed'' syntax: 'HH:MM

S.fraction'. Note that MySQL doesn't yet store the fraction part.
mysql> SELECT EXTRACT(MICROSECOND FROM '2003-01-02 10:30:00.00123');
-> 123
EXTRACT() was added in MySQL 3.23.0.