I've done it quite a bit. The way I knew that at least some of the probiotics, from the capsules that I had opened, grew in the milk was that the milk tasted like yogurt the next day. If I leave it for a full 24 hours in the proper temperature, it gets very tart - lots of the acid-loving probiotics in it. (I'm not touching the current argument on PR about whether the lactic acid bacteria are good or bad, that topic doesn't interest me right now)
I've used a yogurt maker (I think Bed Bath and Beyond has them on their website), and also a cheap set up involving a styrofoam cooler and a heating pad. The container of milk you are trying to culture needs to be kept at around 90-110 degrees - so use a thermometer if you choose the cooler/heating pad method. Some people use their ovens with ONLY the lightbulb in the oven turned on, but again, use a thermometer.
I usually preboil the milk to kill anything already living in the milk, but then the milk must be brought back to room temperature before you sprinkle the contents of the probiotic capsule in it, or the hot milk would kill the probiotics.
But, I have read about other people doing it simply using the pasteurized milk from the store as is, under the assumption that pasteurization killed anything else that was living in the milk.
Note that I don't do this often, as I can only eat a little bit of this, or any yogurt, including store bought - no matter who makes it or with what cultures. If I have more than a little of ANY of these, or anything that affects gut flora too suddenly, I get headaches. But again, this is true for my gut no matter where the yogurt comes from, it is not unique to what I make at home, and this had been a problem for me long before I ever started making yogurt at home. Just wanted to mention that in case people see other posts by me discussing my personal reactions to yogurt.