Ah, so that's how it works. That's the only way I could see it working, but I thought it would be wrong seeing as it made too much sense to me and I know very little on the subject...
So, I make a string of animations, back to back, then specify the animation name and frame section (in the export window), then export it? Seems like something I could do.
Yeah, that's exactly what you do.
From what Ive seen, default max is 30. Ill look into raising it through options.

Just change the numbers in the red box to be whatever you want, specifically over 30.
Btw, MLD, I just checked and milkshape supports over 20,000 keyframes, so you aren't going to run out. (I mean, it would probably forget itself over, but I can go up to 20,000 and I can still animate fine.)