take a screenie of the gun in Milkshape, and a screeny of the texture editor window, with the uv map.
Then take a picture of the gun as it appears in FPSC.
I'm going to bed, but I gaurantee that if you post that, people will be able to help you.
It sounds like either, your UV map is wrong.. OR you are applying more than 1 material to the mesh before export. delete ALL materials except those that you are using, and clean up the mesh before you export it.
Without seeing the screenies I mentioned I can't help you further.
Oh and please post in JPG format!