Im not sure about the milkshape problem (Actually not even a clue) but to play animations you have made you'll need the animation commands.
For example :
LOOP OBJECT Object Number, Start Frame, End Frame
So you could do :
sync on
load object "whatever.x",1
DO
if upkey() then loop object 1,1,10
SYNC
LOOP
This will loop the object from frames 1 to 10 while you hold the upkey down.
Assuming you have DBPro, just type in loop object or play object till the compiler picks it up as a keyword and press F1 (Maybe it does this in Classic too, sorry if I'm wrong but I dont have it nor used it). You can see the whole list for yourself, or alternatively check the manual :p
Flawless Designs