The only preposition that actually goes properly with this is "over."  This is not the only preposition that would be grammatically correct, but it is the only one that properly completes the saying.  "Do not cry over spilt milk" is a set saying.

If you were just trying to be grammatically correct, you could say "Do not cry about spilt milk."  This would be correct in terms of grammar but it is not an actual proverb the way the other one is.  I suppose you could even say "Do not cry on spilt milk" but that would sound pretty strange -- as if your tears were going to land on the milk.