File -> Export -> Autodesk 3DS If i'm not mistakened... a bit bland on the question tbh <!--emo&;)--><img src='http://www.unknownworlds.com/forums/html//emoticons/wink.gif' border='0' style='vertical-align:middle' alt='wink.gif' /><!--endemo-->
When you have the file exported to .3ds format from milkshape, go into 3dsmax and go file>import. When you have the file selected, a dialog box will appear asking if you want to merge it into the current scene or create a new scene. You'll probably want the new scene thing.
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If i'm not mistakened... a bit bland on the question tbh <!--emo&;)--><img src='http://www.unknownworlds.com/forums/html//emoticons/wink.gif' border='0' style='vertical-align:middle' alt='wink.gif' /><!--endemo-->