Whenever I apply a texture to a model in milkshape and export it as 3ds, it only exports the geometry and the texture is no longer there. How do i save a 3ds model in milkshape with texture?

TBH i'm not entirely sure. But here's some things which spring to mind.
Firstly 3ds never seems to export quite right, if you're simply moving files to max you might want to give ASCII a try, files are huge, but theres no chance of fskups. Err and make sure you're keeping the texture files in the same path as when you exported.

As for 3ds files in milkshape: You might never, really never use long file names. 3DS files support only dos texture paths (8 + '.' + 3) so when you have a texture in c:\my documents\my huge texture.tga it will not work. Save it like c:\textures\one.tga or something like this.