The militia can't be well-regulated if the people denied the keeping and bearing of arms, it's a necessary but not sufficient condition. But it is not the right of the militia, well-regulated or not, that is protected, it's the right of the people.
The analogy I used before is voting. We agree that the people, the citizens, have the individual right to vote. But it's a not a right that is exercised individually. It is exercised collectively only on certain occasions -- at certain times and places.
The process is protected which includes the right of the individual as part of the process. What good is the protected right to vote without a protected polling place (with certified ballots, judges, etc.)?
The second amendment protects the process of forming a state militia, necessary to the security of a free state. It protects the individuals, the weapons, the right to assemble, and the right to train, from federal infringement. Outside of that, our state constitutions protect our individual right to keep and bear arms.
To date, that's what the lower federal courts have concluded. But we'll see what the U.S. Supreme Court says.