Milkshape is extremely limited to say the least. If you plan to use Milkshape for the graphics, you probably don't need DX9 features.
Some of the most used modellers/animators are 3D Studio Max (.max), Maya (.ma/.mb), and Lightwave (.lwo/lws). Otherwise, you can let every modeller author do the conversion work for you by using an interchangeable format: the only ones used in the industry are .fbx and collada (I prefer fbx out of the two, being the most supported and tested: almost any major modeller has import/export tools for it).
Some of the most used modellers/animators are 3D Studio Max (.max), Maya (.ma/.mb), and Lightwave (.lwo/lws). Otherwise, you can let every modeller author do the conversion work for you by using an interchangeable format: the only ones used in the industry are .fbx and collada (I prefer fbx out of the two, being the most supported and tested: almost any major modeller has import/export tools for it).