Depends what you're trying to make. Is there a GMDC in the file?
Also make sure the Advanced mode is turned on in the settings, or that importer doesn't work properly.
Without the Advanced Mode, you should still be able to import GMDCs via right-clicking, but then you have to export them from Milkshape as SimPE/Unimesh files (It's mostly used for meshes with bone assignments, but you can do this for object meshes without assignments, too - but make sure to copy/paste the name of the subset so it doesn't change, or you can potentially get some troubles with the item. I often do this for objects with transparent groups because they need to be layered properly for the transparency to behave, and the Unimesh doesn't mess up the order of the names like importing OBJs usually does).