I have read his Milkshape3D tutorial (Lesson 31, for those who haven't), and couldn't find the next lesson that talked about Milkshape3D skeletal animation stuffs.

Am I missing or skipping something that I didn't see? Or has Nehe actually posted the next iteration of Lesson 31, and it's already out?

Somewhat related, and posting it for future references:

jMonkeyEngine once had a few files of codes that loads and animates Milkshape3D models. However, they load MS3D version 4 files, which I'm not sure if current Milkshape3D uses that or a newer file format version.

To see the code, you must browse the trunk in the jMonkeyEngine reversion r1867. r1868 is the reversion where the core developers (at that time) decided to dump/deprecate/delete the legacy codes (which also included Milkshape3D file format) in favor of a new format, which developed very later into the J3O file format we all know of today. You won't be able to see future updates on the legacy file loaders.

http://code.google.com/p/jmonkeyengine/source/browse/?r=1867