When you load the texture into Milkshape you may have to rename it before you assign it.
Since I usually use another program to texture my models I am not sure though.
Stamina's advice is the best.
Check out the Milkshape forums.
That would be the best bet to find your answer.
I just have a question that has been bugging the heck out of me...
Why do people ask questions like these on the FPSC forums?
I understand asking questions about FPSC but if you have a third party app like Milkshape or 3ds Max why wouldn't you go to their sites for support?
Just wondering...