It's kind of hard to say since I have no idea if you split them in more than 1 group. (Which I think is the case here).
In Milkshape, make sure they're in the right order:
If they're out of order, TSRW will think the UV map belongs to group_1 even though it belongs to group_0.
Then, there could also be the fact that you're trying to split 2 meshes and try to give them both a different texture. Which won't work, because there can only be one Mulitplier, one specular map, etc. Never 2.