For some reason Milkshape is outputting UVs outside the normal 0.0 to 1.0 range. AppGameKit can accommodate this if all the images are a power of two in size (unlike DBPro which can set it in all cases by default), thankfully in your case this is true. The following code will apply the necessary wrap mode to the images
LoadObjectWithChildren( 1, "shu/shu.x" )
LoadImage(1,"shu/eyer.png")
LoadImage(2,"shu/eyel.png")
LoadImage(3,"shu/face.png")
LoadImage(4,"shu/shirt.png")
LoadImage(5,"shu/hair.png")
SetImageWrapU(1,1) : SetImageWrapV(1,1)
SetImageWrapU(2,1) : SetImageWrapV(2,1)
SetImageWrapU(3,1) : SetImageWrapV(3,1)
SetImageWrapU(4,1) : SetImageWrapV(4,1)
SetImageWrapU(5,1) : SetImageWrapV(5,1)
SetObjectMeshImage( 1,1,1,0 )
SetObjectMeshImage( 1,2,2,0 )
SetObjectMeshImage( 1,3,3,0 )
SetObjectMeshImage( 1,4,4,0 )
SetObjectMeshImage( 1,5,5,0 )