I think that the importer MP posted is for Homeworld 1 models. Homeworld 2 used a completely different file system.
My suggestion would be to look at freeware 3D applications for one that can import .vrml and export to a type that milkshape can import, such as .3DS or .OBJ.
Then use that program to converter the files.
Milkshape's inability to import .vrml files is one of it's biggest flaws, IMHO.