Preheat the oven to 200C/400F/Gas 6.
In a saucepan, heat the milk, cayenne pepper and butter until the butter has melted and the mixture is well combined. Season, to taste, with salt and freshly ground black pepper.
Add the broccoli and fish to the pan and simmer for five minutes, or until almost cooked through. Lift the broccoli and fish out with a slotted spoon and place into a small ovenproof dish.
Spoon over 2-3 tablespoons of the milk mixture and sprinkle over the grated cheese. Discard the remaining milk mixture.
Bake in the oven for five minutes, or until the cheese is melted and golden-brown. Serve in the dish.