GALACTUS:
The animations you create in Milkshape should show up in DBPro with no problem if they are exported correctly. Can I ask what parameters you used when you exported it? Perhaps you could grab a screen pic just as you are about ready to export it and post it here.
I have Milkshape and can load your model in and test it, but I won't be at my computer until tomorrow. Since the download is a .rar file, I can't tell if the file is a .ms3D file. Is it? If not, please upload the .ms3d file.
EDIT:
The problem was that you only assigned a joint to the door, but had no joint assigned to the rest of the model. All of the vertices in the model need to be assigned to a joint, even if they are not animated. I created a new joint that is for all of the other vertices and then make a child joint for the door.
I exported it using your settings and it worked (though it was really small as you are exporting at 1/10th scale). I have included my export settings FYI. I've also included some quick code to demonstrate it works. I had to change the materials so you can see it okay.
