I don't know anything about Milkshape, sorry.
For the Blender script, how to load it and run it is documented on the Docs section of the website link I gave you. In Blender, at the bottom of the 3d window, there should be a Menu Bar with
View Select Object etc,
To the left of
View, there should be an Icon that if you click on it, it will open a dropdown menu with many more slections. From there, follow the Docs:
http://www.anzwers.org/free/blenderdbc/9349/index.html
Basically, you are loading the script using Blender's text editor, then pressing ALT+P to launch the script. The script doesn't appear in the script selection menu, that is why you have to load it into Blender's text editor and run it from there.
Enjoy your day.