in milkshape there is a button called Joint...
it doesn't give your model a dodgy ciggy, but means a bone joint.
Now you'd oftenly work from the centre of the model your going to work on and create the skeleton on a rough inline of the creature ... you'd do this depending on how you want the bones to move, to focus on the selected areas and overall peice together.
Try to thing of each Joint as an Axis point where all the Vertex you assign to it will rotate around.
Each joint works in relation to another, so say you have 3 joints ... 1 would move and rotate 1,2 & 3 around 1's cetre point.
2 would move and rotate 2 & 3 around 2's centre point and 3 is all on its lonesome.
Now joint 1 will ALWAYS move all the other joins unless you make seperate skeletons for each section, but thats only really for more advanced animators.
To link Vertex to bones then select the vertex you want, goto the Joint Tab and highlight the joint which oftenly highlights onscreen as blue i think or is it yellow ... i have a different setup to others so hard to remember.
But it should go a funny colour and then you click assign.
you can't move the bone and see them change unless your in animation mode, and then you can only move and select joints
Anata aru kowagaru no watashi! 
