lalah,
If you're planning to pre-purchase tickets for the Milan - Venice trip, note that these are specific to train, date and departure time, and can ONLY be used on the one train listed on the ticket. If you board any other train, you'll face hefty fines which will be collected on the spot!
If you use the Malpensa Express from MXP to Milano Centrale, there are a couple of important points to keep in mind, especially as this is your first trip to Italy. You can buy your tickets at the airport station, but you MUST validate these prior to boarding the train or you'll be subject to hefty fines. This is also true on other Regionale trains, and on Buses and Metro. Also, the M.E. has two routes, one going to Milano Centrale and one to Milano Cadorna. BE SURE to board the correct train. The trip is about 52 minutes.
As the first reply mentioned, you can also get from MXP to Milano Centrale via the Malpensa Shuttle (bus). I've used that many times and although it's subject to traffic, I've found the travel time is usually about an hour (so not much longer than the train). The Bus is the only transportation option from MXP Terminal 2, where some of the budget airlines arrive.