to MAN OF THE WEST
Milkshape will only open M3SD type files (milkshape files). But ... Milkshape will IMPORT and EXPORT many different file types.
All you have to do is ... hit the file tab, look down the menu list until you see IMPORT. Click on import.
Now you will see a long list of format types appear, 3ds max, maya, xsi, ascii, a whole slew of file formats that Milkshape can import/export. As a matter of fact, Milkshape is very weak as a modeller, but is a very good converter. Down a bit, in the middle of the format stack, you will see Wavefront OBJ. Click on Wavefront OBJ.
A search window will now appear in which only the Wavefront OBJ's will be recognized. Now simply Search through your files until you find your work of art, then hit open.
I'm done.