I have a genetic defect that prevents the enzyme being made, ever. Most people make lactase that breaks down lactose when they are babies and this eases off as they grow older - hence why adults are more likely to be lactose intolerant. As pointed out elsewhere, we aren't 'supposed' to have milk in our diets once weaned off breastfeeding therefore no need to keep making the enzyme.
How did we come to be eating or drinking anything that we do?! Ad astra per aspera
My guess is that some herdsmen discovered they could give raw milk without making cheese out of it to toddlers, and stopped giving it as the kids developed intolerance - until at a point the kids didn't develop intolerance, and gained an evolutionary advantage. Un roi sans divertissement est un homme plein de misères
Evolution in action !
Funnier yet: most probably co-evolution.
So, in societies where milk was really the only thing available during some periods, being lactose intolerant was strongly selected against (like: you might die).