To determine the correct statements, let's analyze each given statement:

1. Statement I: A colloid and a suspension are heterogeneous mixtures.
   Explanation: Both colloids and suspensions are indeed heterogeneous mixtures. In such mixtures, the composition is not uniform throughout, and different components can be identified physically. Therefore, Statement I is correct.
2. Statement II: Colloids can be separated from the mixture by the process of centrifugation.
   Explanation: Centrifugation is a technique that uses centrifugal force to separate components based on their densities. Colloidal particles, being larger than those in a true solution, can indeed be separated using centrifugation. Thus, Statement II is correct.
3. Statement III: Particles of colloids and suspensions can be seen by naked eye.
   Explanation: While the particles in suspensions are large enough to be seen with the naked eye, colloidal particles are not visible without the aid of a microscope. Therefore, Statement III is incorrect.
4. Statement IV: The aqueous solution of copper sulphate does not show Tyndall effect; however, the mixture of milk and water shows Tyndall effect.
   Explanation: The Tyndall effect is the scattering of light by particles in a colloid. Copper sulphate solution does not show this effect because it is a true solution with particle sizes too small to scatter light. Milk, being a colloid, does scatter light and hence shows the Tyndall effect. Therefore, Statement IV is correct.

Therefore, the correct statements are I, II, and IV.