Linate is relatively close to the city. I'd probably just take a Taxi from the airport to Milano Centrale.
When you arrive at Centrale, stay at ground level and buy rail tickets as that's where the ticket office is located. There are also Kiosks there, and that will likely be faster than waiting in a queue at the ticket office. Note that the official name of the station is Varenna-Esino. After you have tickets, go up two levels to the tracks. You may need to show your tickets to get through the "gates" to access the tracks.
When you check the electronic departures board, you may not see Varenna on the list, but rather Sondrio or Tirano. Varenna is a mid-point station on that line. You can always confirm your train on the large paper departures chart. The trip is 1H:03M and the train doesn't stop for long so be ready to disembark promptly.
You might want to buy your rail tickets for the outgoing trip to, as the station in Varenna is not staffed. If you'd rather wait, you can buy tickets at the helpful Tivano Tours office in Varenna.
One important point - DON'T forget to validate your tickets prior to boarding the train, or you'll risk hefty fines, which will be collected on the spot!
