Each mesh must have a different name, for example MeshA, MeshB and so on.
I do not have any experience with MS3D, but it looks like it's complaining about there being two meshes named "Box". Rename one to something like "Box2" and try again ^^
No don't do that, in milkshape you must keep the same lod number for every mesh, or else parts of the model can be invisible in-game, so yes just keep them all 0