Learn Hardcore French: Je mange du riz au lait après le dîner.

Because du is a partitive article. In French, when you talk about an unspecified amount of food, drink, or another uncountable thing, you usually need a partitive article.

So:

Je mange du riz au lait = I am eating some rice pudding.
Je mange le riz au lait would mean the rice pudding, probably a specific one already known in the conversation.

French often requires an article where English may not.

What exactly is du here?

Du is the form of the partitive article used before a masculine singular noun.

It is historically made from:

de + le = du

In this sentence, it does not really mean of the in a natural English sense. It simply marks some or an unspecified quantity of.

Other partitive forms are:

de la
de l’
des

Examples:

du pain
de la soupe
de l’eau
des légumes

Why is it riz au lait and not riz avec du lait?