Heat coals or gas grill for direct heat. Place fish on 24-inch piece of heavy-duty aluminum foil. Brush fish with oil; sprinkle with pepper. Wrap foil securely around fish.
Cover and grill fish 4 to 6 inches from medium heat 20 to 30 minutes or until fish flakes easily with fork.
Mix dill dip with milk until smooth. Serve salmon with dill sauce.