The general rule is that anything that moves contains cholesterol.
Anything that doesn't move, doesn't contain cholesterol.
Milk contains some cholesterol, I believe primarily in the milk fat. The amount would be minimal in skim milk, and greatest in whole milk, cream, and butter, as well as cheese.
Nuts would contain fat & proteins, but no cholesterol.
Your body is capable of obtaining cholesterol from dietary sources, as well as making cholesterol. However, lowering cholesterol intake will often lower your cholesterol numbers.
Exercise will also reduce your cholesterol, as well as improving your HDL (good cholesterol).