Other forms: millennials; millennially
Anything millennial has something to do with a span of a thousand years. If you're an English history buff, you might mark your calendar to celebrate the millennial anniversary of the 11th-century Norman Conquest — which will occur in 2066. Save the date!
It sounds like "million," but millennial goes back to the Latin mille, or "thousand." It originally meant "pertaining to a period of 1,000 years," or "pertaining to a millennium." We still use it this way, referring to the 21st century and the new millennium: "The art museum put on a millennial show in 2000." It's most commonly used for the generation of people born between the early 1980s and about 2000: "Oh, those millennials and their avocado toast."