What modling programs are unity compatable with. i know 3d max is. is milkshape?
The whole list of the modeling programs compatible with Unity are listed here (scroll down to the section titled "3D Package Support".
From this list, it looks like Milkshape is not supported, but 3DS Max is.
Even though Milkshape is not specifically supported, you could export from Milkshape to a Unity-supported file format (formats are listed in grey on that chart). Most professional 3D modeling programs these days support this (sorry - I am not familiar with Milkshape).
if you use Milkshape to Unity
see this