I'm afraid that I don't use Milkshape, I use Max, so my ability to assist will be nothing more than an educated guess at what the appropriate equivalent functions are called in Milkshape...
You need to select the faces or polygons that you want to detach from the main mesh, then find a (presumably) context sensitive menu that gives you the option of detaching the selected faces to a new mesh object.
One of the other guys should be able to help you better with Milkshape specifics.