In metaseq, save it as a .x file. Afterwards, open milkshape up, and goto tools->DirectX Mesh Tool
Afterwards, click the folder button, and open that file with it. Once done, it will show in that small window. To actually put it into milkshape, click the button that looks like a floppy disk, or more commonly, a save button. The model will then be in milkshape, and that window closed.
Note: DONT click the other buttons. they multiply the poly count. I did the 7x one about 3 times before figuring out howto do the above, and it was a terrible idea.