Hey,
I've just had a look at your model and i think i found your problem.
First, you need to assign every vertice to a joint of the skeleton in milkshape, otherwise it won't export properly.
Secondly, you need to use the following export settings with the Direct X(JT) exporter :
I've uploaded a zip with the model both in .x and .ms3D formats, along with a modified texture (to make it more efficient more efficient on the memory , hope you don't mind

)
Get it
here
However, i didn't make any animations, but you can easily make them or have them made by someone else now that you know how to export the model properly to work with DB.
Hope this helps,
Grismald

Team EOD : Programmer :: 3D artist