I used to export stuff from SketchUp, but that was the old version. Here is how it can be done with the free version of Sketchup 8
Once you have finished your model, move it to the origin point (the point where the red, green, and blue lines meet). You can do that by creating a point on the underside of your model and snap it there.
If you are using the Pro version you can export it as an .obj file, which could be imported to Milkshape without any problems, and your woes should end here.
However, if you are using the free version, things are bound to get messy...
The free version can only export as .kmz (as far as I'm concerned), which is the format for Google Earth. Anyway, export your model as .kmz, then rename the file extension (.kmz) to ".zip". Inside the zip file, you can find a models directory which contains the model in collada format (.dae).
Note: I presume that you are not really a power user so chances are you can't see the file extensions at all. You can fix that by the following in Windows 7: Open up Computer in Start menu and then find the "Organize" button and click "Folder and search options" Click the view tab, and find the item called "Hide extensions for known file types" and untick it.
Unfortunately Milkshape does not have an importer for collada files, so you need another program to convert it into something Milkshape can work with. For this, we are going to use the latest version of Blender.
Click on the File menu find the "Import" item and choose "Collada (.dae)". If you can't see your model, try deleting the Cube in the middle. Afterwards, select your model and go to File menu once more. Find "Export" and then choose "WaveFront (.obj)" Find the checkbox called "Selection only" and tick it. Once done, press Export. And that's pretty much it. You can now import it to Milkshape and mess around with it to your heart's liking.
You see, this is the kind of thing that motivated me to learn Blender as I found the whole conversion thing to be a major pain in the neck. You too might be better off if you learnt to model with Milkshape or Blender.