Milkshape can not read .BLP format files. You'll have to export to .PNG, .BMP, .JPG or any other image format. Also remember that you'll have to manually attach the textures to the materials in Milkshape once you've exported the textures. This is done in the 'Material' tab.
Also, it's called "Magos' Model Editor", after its creator, "Magos". Not "Mangos".
And if you plan on modifying an existing model from the Hive, be sure to contact the author. Also don't forget that animations and bones are NOT transferred with the model, you'll have to reanimate it.