Milkshape is a pretty bad program. It is like putting a band-aid on when you need stitches, it will help the bleeding but wont stop it. Milkshape's worst feature is it's animating, it causes so many problems once you get it in-game. I would recommend using Blender for animating and exporting.
but to answer your questions
1st: You can make multiple animations by clicking the add animation button when using the Torque DTS Plus exporter. You must choose a name, it can be anything but I recommend "Fire" for the fire animation. If the Fire animations are on frames 1-5 then you put 1 as the first frame and 5 as the last frame.
2nd: When you are coding the animation you must use the selected name like so:
(taken from Weapon_Gun/server.cs)
stateName[1] = "Ready";
stateTransitionOnTriggerDown[1] = "Fire";
stateAllowImageChange[1] = true;
stateSequence[1] = "Ready";
Here Weapon_Gun has an animation, and if it were you exporting the animation you would have named it would be called "Ready", if you used the animation named "Fire" then you would have this under the state that fires the weapon:
stateSequence[number] = "Fire";
3rd: I don't know much about 3ds Max, but I am fairly sure that there isn't a DTS exporter for it. You will have to continue using Milkshape(or blender).
