Wow, thanks to all who replied. I am going to try and see if I can get more out of Milkshape3D - I guess I need to do a bit of rtfm to get those textures working. I downloaded Fragmotion and Gamespace Light as well - will try those tonight. Thanks again guys!

One place that's good for Milkshape information is Psionic's 3d resources - he has MS3D modelling tutorials as well as using Lithunwrap and CFX for texturing and character animation. The reason I'm using fragmotion is that it includes similar functionality to these two programs meaning it'll be more integrated for development :)