if you are wanting to import from the game files you need CMP importer and milkshape 7.2 or earlier.
I think it was seth's pack that had that in there.
If you are wanting to import from another 3D application I recomend for MS3D that you export your ship as an obj or 3DS file. You can do DXF format but it does not always translate the same from one app to another.
If you have past Milks shape 7.2 the importer does not work properly. Also the importer works for custom ships and has some bugs with the stock ships.