There are several ways to get to Bormio from Milan airport. The easiest option is a direct transfer organized by Bormio itself. It costs around 300 EUR, and you won't have to worry about the complicated road as you'll be taken directly to the resort.
Alternatively, you can take a train to Tirano, which is located 30 km from Bormio, and then take a bus to Bormio. The bus ride takes about an hour. You can find details about train connections on the state railway website and check the bus schedule on the company's website.
Another option is to rent a car in Milan and drive to Bormio using the highways. However, you should keep an eye on the condition of the mountain passes as they can be closed during bad weather.