Dome3D tutorial - Render to Texture 3ds Max
ok I know these is not Milkshape, but I am sure it will help, I found it myself yesterday and liked it very much.
I also find usefull any sort of video tutorials so here it comes:
Milkshape Tutorial - Step 1 - Create Face
Milkshape Tutorial - Step 2 - Create an odd shape
Milkshape Tutorial - Step 3 - Create Groups