the problem might be in Milkshape, that happen to me before, after you load your model, select it, create/load the texture, you will see on screen that looks great with the texture and everything but the texture has not been actually assigned to the model, you have to click on the Assign button, otherwise when you export it from milkshape and import it into fpsc it will not have texture and it will be invisible or have some weird colors. Don't forget, load your model, load texture and click Assign then export it. Good luck.
...........(o o)........
--oooO--(_)--Oooo---