You can either decide to rent or buy office space. It is highly recommended to get in contact with a real-estate agent, who is specialized in business property.
Setting up your business in one of the many co-working spaces in Milan is a nice way to become a part of the Milan startup-community. Milan has over 60 professional welcoming co-working spaces such as Talent Garden, Copernico, Impact Hub, BASE, Fabriq, Commonwork and many more.
For a detailed guide of the co-working spaces in Milan, check out The Practical Startup Ecosystem Guide in Milan Co-working Spaces – By Adam Bregu.