To save an animation, just get out of Animation mode and save. Remember never export or save when you're in animation mode, click the big "Animation" button down there to leave animation mode first, your animations are kept don't worry.
For exporting, just DTS Plus and a export each individual animation under .dsq format instead of .dts, those basically store skeleton animation info and nothing else. Then you can call them up via script sequences. That's what all the blockland playertypes do. You'll still need a base mesh with bones and stuff, which you'll export as .dts, only you won't need to store any animation info on it.
Thirdly is done via script, try to find the Blockland standardarmor or whatever it's called
.dsq files can do that easily, and blend, and prioritize over others, and numerous other things. Look up the Torque DTS Plus exporter documentation for more details, there's a thread in Modification Discussion somewhere that has the exporter download with document, or you can google it.
Edit
In milkshape you cannot have 2 animations to my knowledge. All your animations have to be put on that one animation track. For playertypes, I use Blender due to the ability to have multiple animations.
Wait is he even using MS3D? Also you on crack again?