If you are doing a really simple model in milkshape then I am guessing that what you have done is texture the inside of a cube perhaps? Unless you flip the normals of the polygons then they will not show up.
In milkshape3d there is a setting for each window which is 'show backfaces' - turn this on/off and you may be able to see in milkshape if any of your mesh's triangles are facing the wrong way.
In milkshape3d there is a setting for each window which is 'show backfaces' - turn this on/off and you may be able to see in milkshape if any of your mesh's triangles are facing the wrong way.