You can create a "child" joint from a parent joint by going into the "model" tab on the side and selecting the joint you want to be the "parent" joint (press select then joint-at very bottom), then (after selected) click the button that says "joint" that is right next to the button "extrude", then click somewhere on the model to place the joint.
However, if you have a preexisting joint then there is no way in milkshape to set an unrelated joint as a child to a different unrelated "parent" node. BUT once you are finished with your model it is extremely simple to do this in magos model editor, simply export your model (if you have the mdx importer/exporter plug-in) and open it in magos, go to windows>node manager and right click the "joint/BONE" and click "move up/move down/left right" until you have the bone in the area you want it to be.
I dont think that there are other importer/exporters for milkshape, but for the one that i have, when it exports a model it removes the textures (which can be put in manually and easily later, (uvmapping and geoset-bone relationships are still saved) BUT FOR THE IMPORTER, when you import a model, it will delete all the bones and reset every geoset to 1 bone called "default". So make sure that you finish everything before exporting, because you cannot re-import it to tweak it later. i hope i have been helpful and if you have any more questions, please feel free to ask