it is confusing, but 3DS actually stands for 3D Shape - which is actually an AutoCAD format rather than 3D Studio Max format.
if the textures don't show in milkshape i'd check a few things, firstly - rightclick in the 3D view and make sure your actaully using Textured Shading.
If you are then check that the textures were actually loaded (sometime they won't be) ... and if there are not textures then you will have to load and assign them manually.
i know its a pain but that just the way it is sometimes
Within the Epic battle of the fates the Shadow and the Angel will meet. With it will harbinger the very fight of good vs evil!