Detailed......
Open Milkshape, from inside open the maxpayneskeleton.ms3d from the Milkshape v0.0.0 folder, next import the MOD file. You'll see a bunch of error messages, just ignore them. Once the model is loaded the program is unstable, you will not be able to go to Materials or undo any actions.... basically I just use Milkshape to move HP's around (Easier than usin' CV), so I've never altered the textures on models.....