Milk shape is still using only capable of exporting to the Half-life 1 format and will there for not be able to do any wighted vertexes joint assignments so if your model is going to be animated i suggest you use a different program for that.
If you don't have Milkshape you can get it from chUmbaLum sOft, where you can also find allot of good tutorials for it.

Your model will need to have a material with a texture assigned to all the polygons and all vertexes needs to be assigned to a joint.

To a assign the vertexes to a joint first create the joint, select the joint from the model tab and place at the center of the grid, then go to the joints tab and press SelUnAssigned and then the Assign button.

To export the model select Half-Life SMD under Files->Export then select Reference and hit OK.