Ok, so I did a little research, and it would seem that Milkshape uses bones instead of empties. So, everywhere I said use empties, use a bone. If that fails, get Blender 2.49, the Blender dts exporter, export your model(s) from Milkshape and import into Blender (.3ds or .obj should work just fine). Then, do what I said with the empties, and export as a dts from Blender.