There should be a tab called “materials” o the right hand side of the window, click on it and there should be a list of the materials used on the model (if your lucky). If there is a list click on the first <none> button on each and browse to find the image with the same name as that which was on the highlighted name on the list and it should apply it to the model if your in texture view, go down each name on the list (if theres more than one) until all parts are textured.
If your unlucky there wont be any names on the materials list, if this is so you must click the new button and make a new material (call it what you like) and then go on the groups tab, highlight the first group (or the one group if theres only one) and go back to the materials tab an click apply, now do what I said to do before, but you will have to try textures until something looks right, do this for each group on the model until all are done.
If your really unlucky the UV’s for the group on the model will be gone and you will have to do one of three things: 1. Try using milkshapes texture coordinate editor in the “windows” button at the top, with each group highlighted in turn (with a material applied) and move the box for the model around until it looks right (though I find this rarely works that well with textures meant for something with UVs), 2. Try reuving it in some other program (not sure about what is best for this), 3. Cry :S
Hope that helps