Some things you need to know:
1) If you make a object with bones, you must to go to Tools/ZeroJoints, becouse if you don't do this, you'll fuck up the entire animation. So, when you finish putting the bones in your model, run ZeroJoints. If you add new bone to a existing bone structure, run ZeroJoint, it'll only affect the new bone.
2) If you put bones in a model, in the right panel in milkshape, under Joints menu, you must to put in the comment of every bone the word "linear", if you don't do this, the scaling of the bones is set to bezier, and it will cause strange things in the final model.
3)You need another program, I recomend you
War 3 Model Editor to add the textures to your model. Milkshape don't hold your texture path when export the model, you need to open your model in this program and add the textures manually.