Don't model in milkshape, Get Metasequoia model in that, then when done, export to 3ds format (Make sure you switch the Z and Y axis, then import it in milkshape (Import -> Autodesk 3ds) and there's your weapon, then when exporting just choose weapon, make sure the sizing is set to 1.
To make sure it's the right size, import an existing weapon model.
*Note that i know nothing about actually doing weapons, but i assume it's pretty much the same procedure as ships.
You can have a ship model as a gun if you want, anything really.
Don't model in Milkshape, it's a program that needs burnt to pieces.
Model in Metaseq or 3ds MAX (No one who uses it here pays for it) or even Wings3D.
I use Wings3D, it's the most user friendly out of the above 3 but you may get better functionality from the other 2.
You model in one of those programs, export it in a format that milkshape can import (.3ds for example), import it into Milkshape, export it as a CMP file using the CMP exporter.
Ok, thanks for Wings3D, i will pay around
with it a few days, till i get the basis.
Then i will move to modeling some guns :D
Uhm..? It's a pleasure. >:|