A milling tool holder axially having a shank with a tapered female opening, and a tool holder having a tapered male end that fits into the female opening. The narrow end of the male end has a bore. A plug having a threaded opening is inserted in the bore in the tool holder to align the threaded opening to receive the threaded end of a draw screw. The draw screw is turned to draw the tool holder and the shank together. When the draw screw is turned in one direction, the two components are drawn together, and when turned in the opposite direction the two components may be separated. A camming plug in the narrow end of the tool holder expands the outer surface of the tool holder to wedge the male end in the female opening.