lol, dude, sorry, but Milkshape only exports the model file

Its up to you to create the UV Map in an external program, and those programs will give you an option to save Texture Map.
Also, Milkshape comes with a Texture Coordinate editor tool that you can use for simple models. I dont know how or why people use it, but here is a really great tutorial that explains it. Infact this tutorial explains modelling, mapping and texturing in an extremely understandable, well presented way

I just wish that I found this when I started lol...
http://modstothemax.net/pages/ur_tutorials_wfcc00.html
Just skip ahead to the Mappign part
Cheers,
Anayar
[EDIT]If you dont want to dig, here is a link to the page where he explains the texture editor:
http://www.modstothemax.net/games/ultimateride/tutorials/coastercar101/wf06.html
[/EDIT]

For KeithC
