The pre-match build-up had been dominated by David Beckham and the former United ace was handed a start on the right side of midfield for the home side.
And it was the Rossoneri who made a flying start, taking the lead within three minutes as a Beckham free-kick into the area was only half-cleared and Ronaldinho's volley was deflected past Edwin van der Sar by the outstretched boot of Michael Carrick.
Milan then came close to adding a second as Ronaldinho forced a save from van der Sar and Luca Antonini dragged a shot wide when well placed.
Twenty minutes in Wayne Rooney drilled a 25-yard left-foot shot a yard wide of goal, as United tried to get back into the game.
Eleven minutes from half-time Klaas-Jan Huntelaar went close to doubling the lead, spinning away from Rio Ferdinand before firing a shot from just outside the area narrowly wide of van der Sar's goal.
However, a large stroke of fortune enabled United to draw level two minutes later when Darren Fletcher's cross found Paul Scholes.
He missed the ball with his attempt at a shot from eight yards out, but the ball bounced off his standing leg and trickled just inside Dida's far post.
Straight after the restart Darren Fletcher headed wide from a Nani cross, before Alexandre Pato placed a header of his own wide of target when well placed at the other end.
Andrea Pirlo extended van der Sar with an audacious long-range free-kick, before the Dutchman did well to push away a curling effort from Ronaldinho at full stretch.
United then brought on Antonio Valencia for Nani just after the hour mark and he had an immediate impact as his cross to the far post was headed back across goal and into the net by Rooney.
Eight minutes later United hit Milan with a third goal, as Fletcher lifted the ball into the area and an unmarked Rooney had all the time in the world to head past the stranded Dida.
The visitors looked most likely to add to their tally, but five minutes from time Milan pulled a goal back as Ronaldinho pushed the ball in from the left and Clarence Seedorf executed a cheeky back-heel perfectly to reduce the deficit.
The home side then pressed for an equaliser, but were unable to find one, with Carrick being sent off right at the death for a second yellow card.